You could use something like these rabbithole doors: http://www.modthesims.info/d/435107
to either build a combined theatre/studio, or put a small addition onto the theater rabbithole and add the studio door.
Calisims's suggestion is a good one though. I've made all kinds of combo lots while testing Jynx's doors. My favorite was the mausoleum-diner with a subway entrance in the crypt
Using his doors to toss a theater on the studio lot, or vice versa, would be a piece of cake.
There's no issue with having multiple rabbithole functionality on the same LOT... assuming you have enough space and have thought about routing a little bit. So if the goal is primarily to save space, there's no real advantage to having it all on the same OBJECT.
I agree about having multiple rabbitholes on one lot. Back when the rabbithole rugs came out, I did make over a small world using them, making a municipal lot with the school, police, city hall, military and main park all on one lot. Worked out great. I think I used 4 lots with all the rabbitholes and other functions, like the library and art gallery included with it. It looked and worked great. Then my computer blew up and I didn't have an external to backup everything. Haven't been inspired to build something like it again.
About adding the LN lots to Sunset Valley and Riverview, haven't had a problem there. Especially using smaller lots built and shared here on MTS, Garden of Shadows, and various other places. I just replaced some of the rabbitholes with shared rabbitholes from LN, changed the main street shopping areas around, used a smaller art gallery and built some smaller Ambition lots. My Sunset Valley have 5 clubs (all I need), the movie studio, and a nice, more workable library that is smaller too. World Editor is my favorite tool.
Only thing I hate, but have gotten past with World Editor, not being able to assign the addresses back to a lot that has been added or moved around.