The problem here is latency (lag) as the MC's voice is encoded, as well as their feed of the music (which would be skewed by several seconds).
My day job is head of ICT for a healthcare company which makes widespread use of VOIP telephone circuits (and internet radio is basicaly the same but one way), and I've been interested in electronic dance music since the late 1980s.
The whole MC/DJ combination has rested upon real time interaction in exact time with the music - giving far less leeway for latency / lag than a conventional radio show where for instance a news reader hands over to a reporter calling over the phone/skype/anything else.
If you carefully listen to or watch the news on an international broadcaster (radio or television) you will notice the unavoidable gaps where the contributor is in a different country or region to the main studio (it can be several seconds in the case of a satellite connection).
These are tolerable on this sort of broadcast (to the point you would need to look out or listen out for them) but with fast paced dance music (from the BPM of house upwards) even 40-100 miliseconds delay would put the timing out by a fraction of a beat, enough to make the show sound a bit odd....
Although there have been musicians collaborating digitally since audio could be sent via ISDN telephone lines, it has rarely been 100% real time and was more done out of cost/convenience issues. You would be better off visiting each other in person and doing the show live from one location, and TBH as EDM events become harder to host in the UK due to crackdowns on the night time economy I feel that online and broadcast radio will become a lot more important anyway.