Grammar has no objection to such a sentence. It is the semantics that matter here, if any.
This structure may be used in a context where could owes itself to one reason unrelated to that of might. A little clarification follows.
He is so excited, what is it all about?
It could be that Joseph might come this afternoon.
The reason for his being excited is likely that … --> could be
Joseph is likely to come … --> might come
The two are unrelated. Changing either will change the meaning or at least lead to ambiguity.