Send payment and message at the same time
That's correct, you'd need to create two separate outputs. 
OP_RETURN and payment outputs are two different output types that cannot be combined.
I don't know what you're trying to do, but generally, it should be unnecessary to provide a comment with a payment. All the payment related communication would already have been done out of band with the recipient finally providing an invoice address. Given the payer sending the payment to that invoice address, the payment is clearly associated with the invoice.

Note that any bitcoins included in the OP_RETURN output are burned and become unspendable. (H/T Jose Fonseca)