I've just found an article about why to do it:
http://www.easy-immune-health.com/magnesium-and-vitamin-d.ht...
Seems like magnesium is needed to convert D to its active form.
But even discounting that, the claim that magnesium is "used up" converting Vitamin D sounds, well, wrong. The closest thing I can find to a need to convert vitamin D into an "active form" is the conversion of cholecalciferol to calcidiol and thence calcitriol. The relevant enzymes all seem to be heme cofactors using iron in the heme, not magnesium. I also don't see any peer-reviewed articles looking at magnesium impacts on vitamin D uptake. There's a few old ones (~1991, with some even earlier) that suggest that vitamin D might affect magnesium intake.
It might be that magnesium is associated with the vitamin D precursor enzymes, since magnesium is a fairly widespread inhibitor of certain enzymes (in particular, it looks like it impacts parathyroid hormone, which is also impacted by Ca²⁺ ions in the normal case of action for vitamin D). But if that's the case, it's not that magnesium is being "used up" by vitamin D but rather you need a certain amount of it in your bloodstream to keep your calcium metabolism working.
Vitamin D is currently the only Essential Vitamin or Mineral which appears to have deficiency rates at a similar level to Magnesium, if not greater. The metabolism of Vitamin D inherently is linked to Magnesium. Magnesium levels in the brain can be negatively regulated by an excess of parathyroid hormone (PTH), where PTH causes release of calcium into the blood (being met with an increase of magnesium to retain homeostasis) possibly being a contributing factor to chronic depletion of magnesium concentration in neural tissue. As vitamin D reliably suppresses excess PTH, it may exert neural benefits secondary to preservation of Magnesium levels in the brain.
A Vitamin D deficiency could lead to magnesium depletion (Vitamin D deficency allows excess PTH, releases calcium, depletes magnesium). So in fact, the opposite is the case right? At sufficient Vitamin D levels you shouldn't have to supplement magnesium, assuming no dietary deficiency of it. Right?
So the recommendation for vitamin D+magnesium would basically be "we think you've got low both if you've got low vitamin D, so just take both of them," relying on kidney functions to fix anything you've got too much of.
Maybe you're somewhere particularly sunny?