That's actually pretty common, as long as the licenses of all the individual parts are compatible.
They can then either list the project as being under the license that covers everything, or they can say that it's under one license, and then list the exceptions.
The linux kernel is under GPLv2, except for parts that are under BSD....
you do have to be careful that the licenses are compatible, or you find yourself in the situation busybox got themselves into, they had most of the tree GPLv2+, but a few parts were GPLv2 only. They opted to acknowledge this by changing the license of the overall project to GPLv2 only