Hey Kezza,
I have thought a lot about this issue recently, and as far as I can tell in Dragon Age 2, being a Dalish Mage shouldn't break anything and will simply result in both Anders referring to the Hero of Ferelden as being a Mage as well as Merrill constantly referring to her old friend Mahariel, the lost Warden. You'll get both flagged Origin references.
However, as user above noted, we don't know what effects this will have carried into Inquisition. The Dragon Age Keep could very well prevent us from importing such a world state if it doesn't allow us to select mutually exclusive choices AND we can't bypass this by importing our own modded saves.
That being said, it may be wise to prepare for Inquisition by thinking about whether in your world state the Warden being Dalish or a Circle Mage will be most important for you. You may have to choose one or the other. We don't know yet, but have fun until then.