The World of Darkness: There are all sorts of of human/non-human goings-on in both settings, including vampires and werewolves. Most splats are non-human in some way, except Hunters and Mages, and most of them can mate and even reproduce with humans under at least some circumstances. The only ones truly unable to do so are Wraiths, being wholly immaterial. Indeed just about every supernatural engaged in romance with humans, even the vampires (though less so due to their deadness). Generally the likelihood of said romances are similar between the two versions of a given splat:
Vampires are living corpses — although they can have sex if they choose, their sex drive is mostly so dead they're hardly ever in the mood — as are Prometheans, so they're sterile to begin with. Bizarrely, in the Old World of Darkness there were very unusual circumstances in which vampires and kuei-jin could actually have half-human offspring, but this was far from the norm.
Even though Prometheans are sterile, it may happen occasionally that one finds themselves a parent. These children are known as Scions, and they're both able to sense when a Promethean draws near and unaffected by Disquiet.
Werewolves only hit lycanthrope status at puberty (though no one would ever consider trying to have sex with a werewolf in its War-Form...unless they were pretty much invincible or into self-snuff and that got creepy really fast). In Werewolf: The Apocalypse all the shapeshifters have families, including animal and in most cases also human Kinfolk who are, in almost all ways, entirely normal. Most same-shapeshifter pairings inevitably produce either a sterile and deformed Metis or no child at all, and even the Changing Breeds with fertile "Metis" can never produce enough to maintain their population without breeding with humans and their animal species. (Some Garou have speculated that Gaia designed them that way deliberately, to prevent them from ignoring the people they should be protecting.)
In Changeling The Dreaming changelings are perfectly capable of having children; some are changelings themselves, some are ordinary humans, and some, the Kinain, inherit a touch of fae magic. In Changeling: The Lost, however, changelings are usually sterile, thanks to their transformation, but the occasional child has been known.
The Fallenpossess humans, and thus can mate and procreate as normal for a human. The Unchained, meanwhile, have human disguises so comprehensive they're able to reproduce in the same way, with the child inheriting their parent's connection to the workings of the universe.
There was a flaw in the original Spell of Life which meant that the mummies it created were sterile. The improved version allows mummies to have human children.
Genestealers combine this trope with Face Full of Alien Wing-Wong, a sub-species of Tyranid that focus on infiltrating target populations. They do this by changing a target's DNA slightly, making the target absolutely devoted to the Genestealer and Tyranids in general, and horny. Any child of the targeted creature (known as a Brood Brother) is less of the parent race and more Tyranid, until by the fourth generation Brood Brothers (well, Sisters) give birth to purestrain Genestealers.
One straight example however is the fanfic Love Can Bloom which deals with the Eldar Farseer Taldeer of Ultwhe and her lover, a Vindicare Assasin designated LIIVI who spared her life and then got involved with her. Later they have a child named Lofn. The story is given a Shout-Out in Dark Heresy.
Although "romance" wasn't involved, the earliest edition of Warhammer Fantasy Roleplay had half-orcs in it, as well as a race called the fimir, who consisted of sterile spellcasting females and fertile males, and thusly kidnapped human women to propagate themselves. Strangely, though most elements of that time (like half-orcs and gnomes) have been consigned to the dustbin of Retcon, fimir get an oblique mention in the Sigmar trilogy from Black Library.
If it exists and can have sex, then some Exalted has had sex with it. The Lunars above all, that's how Beastmen came to be. If it makes a difference, the Lunars have the ability and usually the inclination to ask animals first, and shapeshift into the same species. Beastmen, for the record, are usually conceived when a Lunar and a human or a Lunar and an animal mate in a Wyld bordermarch... with the Lunar in a form different from their mate. (Geoff C. Grabowski once defended the Lunars' predilections by pointing them to Werewolf: The Apocalypse with the words "--- This Wolf Or The Earth Will Die". (Direct quote.))
The game has rules for various types of "God-Blooded," beings with one normal mortal parent and one Exalted or non-human parent. That parent may be an Exalt, a faerie, demon, a god, an elemental, or even a ghost. Sex, let alone breeding with, anything besides a Dragon-Blood is taboo in Realm culture, and interspecies pairings are frowned upon by the Celestial Bureaucracy and many other cultures. But plenty of gods give the finger to their superiors and plenty of cultists like to summon demons for disturbing uses. For ghosts, reproduction requires an obscure and hard-to-learn power. Gods, Lunars, faeries, demon-worshippers, and Deathlords all value God-Blooded as useful minions (or slaves) with a measure of their parents' abilities but not nearly enough power to pose any threat to their creator or owner. They may also lack their non-human parents' frailties, such as Fae-blooded and Half-demons who can live in Creation indefinitely without problems. Lunars also like to spawn whole armies of Beastmen, since their own numbers are so limited.
Interestingly, some God-Blooded are born to parents who subvert this trope; some gods have ways of reproducing that don't involve anything remotely resembling sex, especially those with totally non-human anatomy. If you get pregnant from inhaling magic pollen, does it really count as romance?
Ironclaw only hints at the possibility of interspecies romances in the main book. However the main character of the novel Scars is the daughter of a grey fox noble and a red fox servant, and a raccoon has an unrequited crush on her. And the Book of Jade supplement has a legend of an ill-fated romance between a dragon prince and a peasant vixen; the dragon was killed by his jealous brother and the vixen turned herself into a dragon through force of will to avenge him, then she laid nine eggs and her sons developed dragon magic that gradually makes the user more draconic.