Can you do two lessons at the same time?
I was thinking as a good study method, each time I get a question wrong on the lesson, before I continue to the next question, I open as a new tab, if not already open, the vocab section and open the page for the word or words I got wrong on the question and right there I do a practice session for that word, which are usually just a few questions long, until I feel confident about it, then go back to the original lesson and continue. Can you do that, wouldn't want to cross the streams.
Technically I do no think that there is a problem. I have by accident or on purpose started lessons in different tabs, and as far as I could see, there was no conflict. The only issue I can see is that if you are doing a new lesson, then there is a good chance that the words are not in your vocabulary yet, so you are not going to be able to find them, and start the practice session.