You can add movies and tv show episodes to the same playlist.
But only a “dumb” playlist will work – i.e. not one that was built by a library filter.
You are probably best advised to use either the web app or Plex for Desktop (which has the same user interface as the web app).
Use the context menu ... on any movie or episode and pick “Add to >” – “Add to playlist”.
You cannot add whole shows or seasons. At least you will have to select each single episode you want to add.
You can use multi-selection though: [HowTo] Selecting multiple items for edit, playlist, etc.
