From the point of view scary stories about overheating Li-Po batteries it might be an issue - if you have a faulty unit.
In general it should be no problem at all, however if you notice the iPod get excessively warm then I would stop.
I would say it's different from charging a laptop battery and using at the same time. Laptops have two separate circuits that the charger utilises. One side gives the laptop power and the other side charges the battery. When you plug in a laptop you're not receiving battery power anymore, it's all from the wall and the battery can rest while it slowly charges. Basically charges are the workhorse here as they're handling quite a bit of current to do all this.
It's why you can start your laptop from 0% power and why you have to wait for an iPad / iPhone / iPad / Android etc. to charge for a few minutes before power on.
However on small devices there isn't dual circuits so ALL power is derived from a battery and this is where the small fear is: If a battery is charging while being utilised it is receiving current and giving current leading to a well utilised battery which can warm it up quite a bit.