I had a friend who used to do this and it took me a while to convince him not to, and in fact he loaded, FMJ, Soft-points and JHP's. Putting different types of ammo in the same magazine significantly increases the chance of a malfunction due to the differences in velocity and feeding. Likewise, you will NOT have the round type you need for a specific shot when you need it due to the Demon Murphy.
I suggest you find a good brand of JHP's that handle intermediate barriers well and still expands well in tissue (I use golden Sabers myself) and stop worrying. Too many of us fall into the trap of expecting our pistols can be turned into death-rays if we just find the right ammo when the reality is that all handguns suck and we only carry them because a rifle is too hard to conceal. If you accept this reality and learn to embrace and overcome the limitations of the handgun you will be far better off.