I vaguely remember reading a reference to gypsies playing mouthorgan and tambourine, I think it was in the sleevenotes to one of Topic's Voice of the People series (possibly Rig-A-Jig-Jig, which has some fine harmonica and tambourine playing on, though not together)

It does seem a fairly obvious thing to do with an instrument that only needs one hand to hold (or none at all, which is why harmonica is the classic instrument for a one-man band). As a harmonica player (amongst other things) I occasionally do it myself, though I don't find one-handed tambourine so easy!

Good luck with the research, I'd be really interested to know what you find out.