I don't think noble and military titles are ever combined (you wouldn't say "Lord General" or "His Royal Highness Captain" unless you were listing out all someone's credentials at once, and then I'm not sure what you'd do. Possibly something like, "His Royal Highness, the Duke of Cumberland, Captain of the Coldstream Guards."

For noble titles alone, I believe you generally refer to/address someone by their highest title if they have multiple ones. My instinct tentatively agrees with yours that a noble title supersedes a military one (e.g. "Lord Marlborough" rather than "General Churchill," though that's a bit later in time). I'm less sure the rule would hold for people whose only title is a knighthood, though.

I also have some instinct that within the military you still might refer to your own officers as "the general" or "the captain" or whatever, though you might also refer to them by title. Less confident about whether soldiers *address* their noble officers as e.g., "captain" vs. "my lord." It's also possible the rules work differently for fellow officers vs. enlisted men.

All this is my sense from reading a bunch of British stuff from different time periods over my life, no sources were consulted in the writing of this comment.