You just have to create a new compound modification that is the sum of both individual modifications. Skyline can support as many static modifications on an amino acid residue as you like, but for variable and explicit (set with Edit > Modify Peptide), you only get one named structural modification per residue. So, you have to create a name that contains the sum of all modifications you want.
Hope this helps. Obviously not as slick as it could be, but I don't think it should block anything. At least as I remember it, this was a limitation of X! Tandem when I started this project, and allowed me to adopt it as well.
Thanks for posting the question to the support board.