Not really, but you just have to think of it in a different scope.
Using a more or page tag it going to break things up, and any code needs to be completed (in terms of open tags) before adding in that functionality.
It would no different with any other open tag, really.
Like you can't put it in the middle of a paragraph tag, or blockquote, or whatever.
It might follow logically within what you're writing in the window, but when the post is rendered, it doesn't see it that way. It sees one of those tags as a stopping point.
More being seen as only render the post up to "this point" under "these conditions" (main page, category view, etc), and the page tag being literally that, and breaking the post across multiple pages.
So, you wouldn't have an html document called page1.html that has an ordered list started in it, then try to continue that in page2.html without closing and opening the tags (to use your question/situation as an example), so the same goes with a post.
Even though it's all one post, and you can see it all in the same window, at the same time that's not how it's always seen when it's pulled out of the database.