The combination of different cosmological probes offers stringent tests of the $Lambda$CDM model and enhanced control of systematics. For this purpose, we present an extension of the lightcone generator UFalcon first introduced in Sgier et al. 2019 (arXiv:1801.05745), enabling the simulation of a self-consistent set of maps for different cosmological probes. Each realization is generated from the same underlying simulated density field, and contains full-sky maps of different probes, namely weak lensing shear, galaxy overdensity including RSD, CMB lensing, and CMB temperature anisotropies from the ISW effect. The lightcone generation performed by UFalcon is parallelized and based on the replication of a large periodic volume simulated with the GPU-accelerated $N$-Body code PkdGrav3. The post-processing to construct the lightcones requires only a runtime of about 1 walltime-hour corresponding to about 100 CPU-hours. We use a randomization procedure to increase the number of quasi-independent full-sky UFalcon map-realizations, which enables us to compute an accurate multi-probe covariance matrix. Using this framework, we forecast cosmological parameter constraints by performing a multi-probe likelihood analysis for a combination of simulated future stage-IV-like surveys. We find that the inclusion of the cross-correlations between the probes significantly increases the information gain in the parameter constraints. We also find that the use of a non-Gaussian covariance matrix is increasingly important, as more probes and cross-correlation power spectra are included. A version of the UFalcon package currently including weak gravitational lensing is publicly available.
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