The only 40k RPG where it would make sense to have different factions together is Rogue Trader, but even that would be MAYBE a Tau, Eldar or Freeboota Ork in an alliance of convenience with the crew. Otherwise, I can see someone bringing a Dark Heresy character to Rogue Trader or vice versa, a Deathwatch character to Black Crusade as a Chaos Marine or just a crossover session between any combination of the games (as they're all cross compatible for the most part), but 40k isn't a universe where you'd regularly see an Inquisitor's entourage hanging out with a Deathwatch kill team or a Rogue Trader crew regularly working with the Imperial Guard.