Yes, it is very possible. I have all three on my own computer. A 4TB HDD for games, a 500GB SSD (SATA) for the OS and a 1TB SSD (NVMe) for the games I play the most.
NVMe is the fastest connection (it uses PCIe, the same interface as your GPU) but in real world scenarios the differences in performance between a SATA SSD and NVMe SSD are minimal and barely noticeable.
Regular HHD are very slow, and although on most games this just translates to slower loading times, on PHG it does affect performance. My guess is that textures are being loaded “on the fly” while you are playing.