By using pseudo-differential operators with two derivations, we extend the KP hierarchy to a certain KP-mKP hierarchy. For the KP-mKP hierarchy, we obtain its Bäcklund transformations, bilinear equations of Baker-Akhiezer functions and Hirota equations of tau functions. Moreover, we show that this hierarchy is equivalent to a subhierarchy of the dispersive Whitham hierarchy associated to Riemann sphere with its infinity point and one movable point marked. We also study some reductions of the KP-mKP hierarchy, including its $(n,m)$-reduction and its reduction to a certain extended $r$-reduced KP hierarchy.