I have not tried what you are talking about.
But, I would guess as long as you can install SQL 2000 MSDE and SQL 2005 (under a named instance probably since default is probably taken) on the same server BizTalk should be fine.
I don’t know if that is possible.
Running BizTalk with SQL 2000 is a great option though. As far as I know, BT 2006 does not take advantage of many of the new features of SQL 2005. Sure, it will run “better” on 2005, but I would guess unless you are under high load you wouldn’t notice a difference.
Just my thoughts on this.