Theoretically a cable having a twisted pair for data and two other conductors for power and return is OK - induced currents from the power conductors will tend to equalize on both data wires (because they are twisted) and only produce a small common-mode corrupting signal that can be dealt with by using appropriate components on the CAN bus receivers.
However, if a twisted pair is also used for power, performance can get worse if the twists on the power and twists on the data line up - now you will get a potentially substantial transverse interfering signal on your data.
If the twists are at different pitches then there will be much less of a problem but it all depends on cable length, number of twists and the bandwidth of the current flowing down the power conductors. This is alleviated by having good decoupling caps at both ends of the power cable to try and ensure current down these wires are only slow moving relative to the data.
It's the same problem with phantom powering a CAN bus (or any low power serial) module down the data wires - the power has to not be jumping around too much compared to the magnitude of the data.