It should be. In my marathon brazil game I have mosques and pagodas both so I could get +2 culture per faith building and I was able to put one of each in all my cities.
I had a religion with both beliefs and I could build both mosques and cathedrals. I can't remember what I named it though...
Maybe it's just a glitch. Or maybe not.
By the way... you said you got the beliefs at the same time - does that mean you were being Byzantine?
You can also build both even if they're from different religions. For example, If you're Christian and build Cathedrals, and later have Islam spread to that city, you could build a Mosque, with both having active effects.
OP probably bought a Mosque, then his city grew and when he wanted to buy a Cathedral there too he didn't have enough followers in that city anymore to have the majority/religion.
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