So in the end you can generate an audio containing both sampled audio and generated instruments?
You can have an audio audio project that has only midi redirected to Virtual Instruments
or a project with both the midi and the "rendered" virtual instruments (audio tracks). The best is to try do the virtual instrument to audio one by one, because every V. I. takes memory and with 3 or 4 the memory easily run out. But YMMV.
If you need an external midi instrument...you would need to record it back again to have the audio samples, or not?
In Protools you can listen the external instrument using "tracks" called "auxs" for the audio return of the external midi instrument. When you have the part finished, you mute the aux and create an audiotrack to record it. You have the midi track (muted after the synth is recorded), the aux track for listening live( muted after the recording) and the audio track that recorded the external soundbank.
It is easier to see and do it than describing it.