If there are parameters (especially cascading parameters) this would not work. With a parameterized report the process is often: proc retrieves parameter values from db... user selects parameter value... if another parameter is present the first value is passed to next parameter... etc... then the final parameter value(s) are passed to another proc that provides the final result set that is used when the report is rendered. There would be no logical way to make this happen in one transaction.

Even if it were a report without any parameters, what would be the point of running multiple queries in a single transaction?

Edit: minor spelling error.