Idle thought: How would it sound to make a tappable pickup that had 40ga wire for 33% of its windings and 43ga wire for 66% of its windings?
You have to be careful about the number of turns - the 40 gauge stuff takes up twice the amount of space per winding, so you'd end up with 132% of the space that you would use if the whole thing was 43 gauge and the same total number of turns - it'd likely overfill the bobbin, forcing you to use less turns.