Can Arkham Horror be played with both The King In Yellow herald, and The King in Yellow ancient one?
As far as I can tell, there is no specific King in Yellow great old one.

If you're talking about Hastur as the great old one, that's a different story.  Thematically, The King in Yellow is actually Hastur's avatar.  So, in that sense, it might make perfect sense to use both of them in conjunction.  Mechanically, they're just two parts of the game board that don't need special treatment to use together.