I don’t see them as being uncompatible but I imagine that they are not commonly used together because of the disparity in volume. You would probably want to look at amplifying the harp.
The French/Italian composer Armando Ghidoni, who is also a saxophone professor in France has written a lovely piece for harp and alto saxophone (or clarinet) called Nocturne et Sicilienne, I think Alphonse Leduc is the publisher and here’s a video on youtube http://www.youtube.com/watch?v=h2sugCkvf9E
He also wrote a piece called L’etoile inconnue for flute, clarinet or alto sax and