You may only complete one of the two quests without hacking the game. (as of community patch v8.4.2)
Pimpin' For Romero requires that you find someone who will have sex with Romero (or do it yourself if you are a female).
You Only Die Once a Night requires guarding the cemetery while Romero goes to find sex on his own.
They both achieve the same goal as far as the storyline is concerned, so once one is complete, the other is no longer necessary and therefore not available. Though, I bet he wouldn't mind a second go. :P
As for Romero not returning after "You Only Die Once a Night", see the following quote:
If you manage to keep the zombies inside for 5 minutes, Romero will come back
and you'll complete the quest (3 XP).
Which would lead one to assume that he will not come back if you fail this quest. Seeing as "You Only Die Once a Night" can be very difficult without the Celerity skill, there is a good chance that you may fail it repeatedly.
Additionally, there are several patch notes surrounding Romero not returning after the "You Only Die Once a Night" quest, one of which being:
498.Removed xp for Romero loving after zombie quest but made him return (WESP BROKE)
WESP being the author of most of the VTMB patches including 8.4.2. (I believe)
This note may also mean that there is no bonus XP to be had even if you do complete both quests.
There are previous notes of Romero's return being broken as well. It is possible that this is one issue that was created between two different modder's work, and may not have been resolved since. Also note that seeing as there have been many different patches put out by many different authors over the years, not all patch notes will be applicable to all patches, and old changes may be outdated.