Imperial and particularly inquisition involvement/cooperation with xenos is not unheard of, but its only done secretly, by individuals and with plausible deniability if possible. Its never done publicly as an institution. In 40k if a xeno entered the player hub, itd be destroyed on sight by everyone, and anyone associated with that happening would likely be executed or worse. It only happens in secrecy and is only known by a trusted few who most likely arent happy about it but begrudgingly allow it, based on the importance of whoever is doing it, and whether or not anyone else will ever know.
There are settings in which you can get away with it. But on an inquisitor ship, heading into a hive city, thatd just be asking for almost any other faction to blow the mourningstar to bits for the emperors glory.
Having said that, 40k lore is a little bit out the window anyway in this game. As incursions like what the rejects deal with on every mision would most likely have the entire planet under exterminatus protocol or grey knights as well to wipe anyone that knows about it. I gather from rare voice lines that there is another hive city on the planet under worse conditions, and that there is something super important on the planet that a faction of the imperium, most likely the mechanicus, doesnt want to lose. and theyve called in the inquistion to try and quell the issue and retain control of whatever that is. Somehow they convinced Grendyl to to go about dealing with the situation in this way.
Xeno involvement would be on the sly, if its major enough, aeldar may be around, working behind the scenes, possibly communicating with grendyl but they wont be in squads because zealots would gut them on sight for the glory of the emperor, vets would do the same, ogryns would do the same because thats whats always been said by sah, psykers are the only ones who MIGHT hold back depending on their personality but likely, under current circumstances, would be amongst the few capable of dealing with them well enough for everyone else to finish them, and would do so, so as to escape the label of heretic amongst their peers and prove why they shouldnt be shoved onto the next black ship.
The 40k universe is extremely dangerous and volatile. The last thing anyone wants is to be implicated as a xeno sympathiser. Thats as bad as being tainted by chaos. You will die. badly. There are only rare instances of individuals getting away with it.