I've only tried with an external volume, but I don't see why it would. Besides, Apple runs multiple operating systems internally as well, and sees it as a supported config
Part of Catalina in the first stage is firmware update and that phase takes place while the screen is blacked out. There may be unintended consequences - check threads for your Mac model and setup.
Make sure that the listing installation is compatible with APFS and has been converted. I ran High Sierra and Mojave on two volumes in one container, then added a third and installed Catalina on it. All three systems boot fine.
Note that each installation will have additional hidden volumes (VM, recovery, preboot, etc.) But it keeps them all straight. However, it seems to only boot into the latest Recovery volume.
Just to report here that it works perfectly. Created a new volume in recovery mode, installed Catalina in it and now I have Mojave and test Catalina on the same machine. All good. Thanks for the advice