Why yes, you may! Some products are actually specifically designed to do both, like the Lancôme Color Design Shadow & Liner Palette, which is a Fashion Week backstage stalwart because it's so easy to use and versatile. At the drugstore, Revlon Custom Eyes Shadow Liner is another option that's meant to multitask. We like the variety of hues and textures in the palette, and the fact that it's so light and portable doesn't hurt, either.
If, on the other hand, you just want a single shade that can fit into even absurdly tiny minaudières, definitely take a look at the MAC Pro Longwear Paint Pot. It's almost a gel, which makes application superlatively simple and, dare we say even fun.