Short answer is no.
Long answer is yes and no.
Using two different types of narration is often a tricky business, one that can lead too many inconsistencies and disjointed writing. The main point you have to consider is this,
How am I drawing in the player, and Why?
So let's say I have a horror game.
How? Make them feel as if they are the character, while maintaining an eerie and distant persona
Why? To experience that emotional scare factor
So, how do I do this. While the first thought would be to simply make it all first-person, this is not a significant impact. Rather, mixing a third-person dialogue with first-person speech creates a significant eerie and distant feeling, while maintaining the personal feeling you wish to project. Here's a quick example,
The man opened his wife's door in anticipation, his bloody dream still vivid within his imagination.
creeeeek!
"Oh god," the burdens collapse in on the man at that moment, the realization that the dream of him cutting up my wife, was in fact not a dream at all.
"What have i done," The man cries in agony, cradling his head in his hands.
As you can see, I switch straight from a third person into a first in my speech. Realize though that you can only do this for two separate types of narration. So I used third person for the dialogue, but first-person for the speech. What if I used both for just the dialogue?
The man opened his wife's door in anticipation, his bloody dream still vivid within his imagination.
creeeeek!
"Oh god," the burdens collapse in on me at that moment, the realization that the dream of me cutting up my wife, was in fact not a dream at all.
As you can see, when you read the next line it becomes disjointed and wreaks havoc on your reader's anticipation level, ruining any concept of scariness.
So really, we get to the main point. You can only use this for two separate types of narration, if you use it at all. For you, you have your first, which is the dialogue, and your second, which is your choice. The easiest way to check, though, is to simply read it out loud and if, at any point, it feels disjointed then change it.