As Mowgli pointed out, a bone marrow transplant involves destroying the patient's own immune system with radiation and, essentially, replacing it with a new one from the bone marrow donor. If you did a double kidney/bone marrow transplant from Alice into Bob, then Bob's new immune system (which is the same as Alice's) would recognize the new kidney from Alice as _self_ (because it is) and not attack it. Yay!
The problem is that, to the new immune system, all the rest of **Bob** appears to be non-self and will get attacked. This is called Graft-versus-host disease and is _at least_ as serious a problem as organ rejection.