Oranges, lemons, and virtually all other citrus varieties are freely
graft-compatible, so yes, such a tree could be made. Monique is right that
what you'd have is NOT a graft hybrid, however. There are a couple known true
graft chimeras in the citrus world -- 'Natsudaidai' from Japan comes to mind,
which produces a mandarin orange fruit surrounded by a grapefruit peel, but
even there, you have different genotypes in the L1, L2, and/or L3 developmental
layers of cells, not a true blending of genetic material within any one cell.

Dr. Jude Grosser, at the University of Florida Citrus Research Center in Lake
Alfred, has made somatic hybrids, in which 2 cells are fused together under
tissue culture conditions, and the resulting plant has the complete genetic
complement of each "parent." He has, for example, 'Key' lime x 'Hamlin' sweet
orange and 'Key' lime x Poncirus trifoliata somatic hybrids. The trees are
intermediate between the parents, and tend to be rather compact growers since
they are 4N. But of course, these are not "graft" hybrids, since a graft is
not involved (unless you consider protoplast fusion to be a form of grafting; I
do not.)