Why don't we use capacitors containing multiple kinds of dielectric in a single package?
I'd say it's probably cheaper to manufacture them as two separate processes.  No two designs are the same so it would be difficult to come up with value combinations that people would use.

More importantly in decoupling inductance is very important especially as you go up in frequency.  So I prefer a tiny surface mount ceramic with minimum loop area for my high frequency decoupling.  But I can use an electrolytic's larger package for my lower frequency bulk supply needs.

Stuffing my ceramic cap up in the electrolytic's package would negate the point of using it.