Notepad++ does not natively offer this. You can switch between the 2 languages, but not select 2 languages at the same time.
Notepad++ does however support adding your own language. So in theory, you should be able to construct your own language that combines the two together using their own highlighting.
But creating your own copy of the language in question can be hard. The stylers.model.xml file contains all config for colors, but not the dictionary behind it.
The langs.model.xml file does have all the functions, so exporting a UserStyle, then copy/paste between the 3 files will be a tedious job, but it should allow you to construct something.
Its up to you to determine if you really need this, or that you'll settle for just switching between SQL and shell scripts syntax highlighting.
EDIT: I suppose that in the same fassion, you could edit the langs.model.xml and stylers.model.xml file after making a backup and hack yourself SQL support into the script layout.
EDIT2: Just tried myself to combine php, html and sql into the php style, but it doesn't seem to make any change. So apparently its more than just editing these two files and restart notepad, and might not even be possible.