I'm thinking about planting a yellow climber (Cl. Sky's the Limit) inside my old windmill. I will put up some type of wire fencing to climb against. I thought I might plant a deep purple Clemantis, not sure which though. Does anyone see an issue with this? I'm in zone 6A.

No problem at all putting a clematis to grow on the rose. @Zuzu does it often and maybe she could post some photos.

I'd select a clematis from Group 3 so you'll have no issues pruning it low in February and the rose won't get in the way but maybe Zuzu has other ideas you'd like more.

Group 3? I've never planted Clemantis, guess I've been afraid of it not making the Kansas winters. I'm not familiar with groups.

Clematis are grouped for pruning needs, Pinkbubbless66. Here's an informative article that explains the differences http://garden.org/ideas/view/g... .
Most clematis are quite winter hardy; in fact, they usually won't do well at all if their roots are planted in a hot spot. Once you decide on a plant and bring it home, consider placing it on the north or east side of the rose, and allow it to grow through its supporting canes. Plant it deeply and mulch it heavily year-round and you should have no major difficulties.

I think your idea sounds fabulous!

It sounds like a very good color combination. I grow clematises next to all of my climbing roses, sometimes in the same planting hole if I'm planting both at the same time. The rose foliage shades the base of the clematis and keeps the roots cool.