Can I run hot wires for both GFCI-protected and non-protected branches in one conduit?
I do that all the time.  For instance in our breakroom, I have black + white carrying non-protected supply, whilst purple + gray carry GFCI-protected supply. They all share the ground of the metal conduit pipe.  Purple + gray land on the GFCI-protected outlets, and black + white land on the non-protected outlets.
You can pick ANY colors you want, as long as neutrals are white or gray, and hots are not (and also not green).
There is no way to &quot;double up&quot; and have white+gray (or purple+black) be the same wire.  That would instantly trip the GFCI device.  Anyway, THHN wire is cheap, so don't worry about it lol.
If you don't actually want to buy purple + gray wire (would have to go to an electrical supply), then just go ahead and either mark the wires with tape, or group them with tape so their relationship is clear.  I'm a huge fan of colored tape for that, but it can fall off down the road.