Yes, of course, in fact we recommend it. Working while training is a great way to plan before you execute. It gives you the space to train and upskill, while not having to worry about rushing into a new profession to pay the bills, allowing you to perfect your learnings. The old saying, slow and steady wins the race, applies here.
On a side note, some of the world’s greatest entrepreneurs stayed in their day jobs even after they got started.
For example, Phil Night kept his accounting job when getting Nike off the ground. Larry Page and Sergey Brin were studying full time when they started Google. There are many more examples like this.