This is rather easy to do if you synthesize oligonucleotides chemically and not enzymatically. This is typically done using phosphoramidite chemistry, and it allows for the synthesis of chimeric RNA/DNA oligos. You can even incorporate modified nucleosides like 2'-O-Me or LNA.
This is typically done if you want to change the properties of an oligo, e.g. if you want to make it resistant to degradation by enzymes.