While I would NEVER condone anybody else do it:
I have seated a high-velocity .22lr bullet behind a pellet. As long as the pellet is sitting directly on the bullet, when if fires you essentially add the mass of the pellet to the bullet, making a 40gr into a 55gr, in the case of the pellets I was using.
I've used my .22lr as a "pellet shotgun" as well. I put an EMPTY, FIRED .22 case in the chamber and closed the bolt. I then used a brass rod to run 5-8 pellets one by one down the muzzle until they were seated against the case in the chamber. I then cycled the bolt to remove the empty case and replaced it with a GRAY .22 ramset "powder load". The gray are the weakest available, but still pack more energy than a lot of standard velocity .22lr loads. I would not think of trying it with a high-power load. The results of the test were quite spectacular, a very narrow group of pellets, I would estimate a 2" spread at 15 yards, with a lot of energy. The effects on a perched pigeon were unbelievable. The noise was very low, the pellets stayed subsonic and muzzle report was less than most .22 subsonics.