While you can generally mix cocos2d-x with other libraries (for example, I use it with LibVLC on Android), it's probably going to be very hard with another game engine.
The reason is simple : both use OpenGL, and as far as I know, OpenGL relies a lot on the assumption that inside a same app, only 1 person is going to use it, which means there are a lot of shared states. If you try to have 2 game engines run in the same app, there is probably going to have conflicts between the 2 game engines at the OpenGL level.
A possible workaround would be to have 2 entirely separate OpenGL surfaces (or whatever they are called on your platform). Unfortunately, I am not sure all platform allow that. That would be very interesting to try.
On other project, generally you leave the OpenGL surface for cocos2d-x and use other surfaces for the other framework.
Good luck, and keep us updated about your progress.