So long as you over mark the wires correctly at both ends, then you are ok[1] doing that with a single cable (you can't overmark a protective conductor when wired in "singles" in conduit though).
Having said that many heating system components will be class I devices and require earthing anyway. So multicore flex is usually a better bet.
[1] in the sense that its permitted in BS7671, however its still poor practice IMHO, and I would not do it personally.