I don't think you can do this, Gingerkid. The game doesn't let you put two buildings down on one lot, as far as I know.
I don't know about placing a police station in a fire station lot, but I know you can put multi rabbit holes, multi registers (consignment, potion, pet, relic, extra), professional bar, and more on a market, and consignment lots. If you put everything a fire station needs (alarm, fire truck, beds, showers, sinks, stove, fridge, fun activities, a way to improve your skillls) and still find room for the police rabbit hole it should work. Well unless something about the fire station lot type prevents rabbit holes from working or being placed. I don't see the advantage in mixing them but you can place multiple rabbit holes on the same lot and you can even build a none rabbit hole building on that lot. I have done so countless times as a kind of cheat to save my Sims from running everywhere to do there shopping and selling.