I am trying to use an AC/DC converter module developed by third party.
Is there any way I can do both at the same time?
Yes, no problem doing both at the same time it's often done that way. If you are selecting the capacitors make sure they are safety rated X and Y capacitors. (If you don't know what that means make sure you research it prior to hooking anything up.) Also the value of the Y caps between hot and chassis ground should be such that if the chassis is somehow ungrounded there is not enough leakage current to present a shock hazard. There are regulatory requirements around that and you should understand those as well before selecting the caps. Another option is to buy an off-the-shelf EMI filter that includes the proper components.