I understand that you refer to chaining multiple JTAG connectors by a special made cable. Although this is possible by JTAG standard and should be supported by the involved tools, it may require a reduction of JTAG clock frequency or possibly buffering the common signals TCK and TMS. There might be also an issue of different voltage standards used by the JTAG interfaces, demanding for level conversion.
Multi-vendor JTAG chains are mainly used for boundary scan in-circuit test. For debugging and device programming during development, most people seem to prefer separate JTAG adapters for each device.