To answer your question with a thigh harness the dildo and a mans penis in a woman at the same time would cause the dildo to be at a weird angle for penetration. So much of an angle I think you might hurt something.
Maybe some one has a product for this type of play and maybe they will share a link.
I never used a thigh harness i'm just going off some basic knowledge I gathered by looking at some of them... maybe some one has used one with success like that but I doubt it... not if the dildo rests in the center of the harness.