What would happen to a Water/Lard Mix under pressure and high heat?
I'm not sure what aspect you are asking about exactly… but all supercritical liquids are completely miscible with each other, so you would get one supercritical phase with the mixture of the two… supposing the oil doesn't decompose.

However, the smoke point of lard is 182°C while the critical temperature of water is 374°C, so what most probably happens is that your lard will burn, breaking down to glycerol, acrolein and free fatty acids.