If I got them both together, I'd assume that they struggled to get the thank-you notes done, decided that by gum they were NOT sending them *after* the Christmas cards, and that they then kicked in and made sure to finish them all. And mailed them together.
Personally, I would send the thank-you separately, especially a *wedding* thank-you.
As the recipient, I might make a small negative mental note if someone wrote their thank-you on the inside of the Christmas card--and then probably forget it or only remember it as an oddity; probably would think "how smart" if they put the thank-you note (with or without its envelope) in the Xmas card.