In 1 backup? No. I would like to have something like that, too 
.
When I initially set up my phone and tried TWRP for a backup, I just saw TWRP’s warning when backing up the data partition, and I just set up an additional way to backup Internal Storage to my PC then.
Having a 2-part backup this way worked for restoring the phone reliably, so I didn’t dig any deeper there.
It was some time later that I came across the TWRP FAQ where this was explained in more detail.
I just now had a look at the folder structure on the phone, and /data/media seems to be the same as what the phone shows as Internal Storage via USB in MTP mode. So as is now suggested in the guide, just copying all of this to somewhere safe in whatever way should do, together with the TWRP backup.
TWRP activates MTP when the phone has a USB connection to a PC, and Internal Storage is shown then via USB, so Internal Storage could be copied while being in TWRP, I guess, but I never tried it this way myself.