When I visited Yale the adcom running the info session said his roomie had been a physics/music double major. Apparently, the P/M major went on to be a Rhodes Scholar.
The main reason I can say that this would be extremely difficult to do is that both majors are extremely time consuming. Also, a physics undergrad degree isn't terribly useful unless you plan on going to grad school, and if you are going to grad school you should be doing research as an undergrad, which is yet another huge timesink.
