Is it feasible to have one drill bit that will work with all those
materials?

There is a video at

http://www.idealworld.tv/pp/16-piece...nd-file-361970

From 0:48 the video shows a bit being used to drill through various
materials including a brake disc and a tile, and apparently coming with
a 10-year guarantee (though each replacement under warranty costs £5
including P+P).

This seems to be the product:

http://www.drillalldrillbits.com/

Are such drills feasible?

James