Actually, curve25519 is well on its way to FIPS approval (NIST SP 800-186), but that's not what you're asking about.
To answer your question, yes, NIST has stated that they do allow non-approved algorithm in parallel with their favored key exchange. At the moment, their official approved process would require processing the nonapproved key share differently from the approved one; however they note that this will change in the next version of NIST SP 800-56C.
Their actual statement (from https://csrc.nist.gov/Projects/post-quantum-cryptography/faqs) which is applicable to more than just postquantum cryptography (some text which gave postquantum examples were elided):
Is it possible for a hybrid key-establishment mode to be performed in a FIPS 140 approved mode of operation? (added 1/28/20)
A hybrid key establishment mode ... is defined here to be a key-establishment scheme that is a combination of two or more components that are themselves cryptographic key-establishment schemes. The desired property is that keys derived by a hybrid key-establishment scheme remain secure if at least one of the component schemes is secure...
Current NIST standards ... can accommodate several hybrid key establishment constructions in “FIPS mode,” as defined in FIPS 140. For example, assume that the value Z is a shared secret that was generated within a NIST-approved cryptographic scheme, and that a value T is generated or distributed through other scheme(s)... The following are the different ways to incorporate the value T in the key derivation procedure to achieve a hybrid mode which is permitted by current standards:
For any one-step key derivation method that is specified in SP 800-56C, an input defined as SuppPrivInfo can be included in an (optional) FixedInfo field, and T may be included in that field.
In any of the key derivation methods specified in SP 800-56C, whether one-step or extraction-then-expansion, the value T may be included in the salt field.
Additionally, NIST plans to incorporate a cleaner, and therefore preferable, hybrid key establishment construction in a future revision of SP 800-56C:
In any of the key derivation methods specified in SP 800 - 56C, the revision would permit a concatenation of Z and T, e.g., Z||T, to serve as the shared secret instead of Z. This would require the insertion of T into the coding for the scheme and the FIPS 140 validation code may need to be modified.