No problems.
The purpose of OpenMP and pthreads is different. OpenMP is ideal for recording parallelism loop level. However, OpenMP is not suitable for expressing complex streams and thread synchronization. OpenMP does not support all kinds of synchronization, such as condition variables.
A caveat would, as Mystic pointed out, be to process and access native threads in parallel OpenMP constructs.
FYI, Intel TBB and Cilk Plus are also often used in a mixed way.
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