Can water supply, waste and vent lines penetrate through return air ducts?

I believe no…

In my area domestic water lines are allowable nothing else. No gas lines, no flue vents any item that has the capability of producing toxic liquids and or vapors not allowed.

One exception in my area that is allowed where the condensate drain line travels down through the return on a upflow furnace to a P-trap embedded within the slab foundation. This vent connection must have a air gap between the condensate drain and the sewer vent and the gap must be external to the return air chamber. This set up is very common here on slab floors where the furnace is located within an interior hall closet.