I never seen this, but is it possible to have one SQL call join data from Oracle and SQl Server?
Yes, Oracle and SQL Server both have functionality that allows to connect to other databases, including different vendors. In Oracle terminology, it's a database link instance while on SQL Server it's called a Linked Server instance.
The syntax to reference the instance is different between Oracle and SQL Server though. IE:
SELECT t.*
FROM table_name@database_link_instance t
SELECT t.*
FROM linked_server_instance_name.database_name.schema_name.table_name t
No, the closest MySQL has is the FEDERATED engine, which is only for connecting to remote MySQL instances.
PostgreSQL has dblink. Last time I looked at dblink (pre-v9 release), it only could connect to other PostgreSQL instances.