Yes, it is generally not advisable to turn the steering wheel while applying the brakes heavily, especially at high speeds, as it can lead to loss of control of the vehicle. When you brake hard, the weight of the vehicle shifts forward, reducing the traction on the front wheels. This loss of traction makes it more difficult to control the direction of the vehicle, and turning the steering wheel at the same time can further exaggerate this effect.
Additionally, if you are braking hard and turn the steering wheel, you run the risk of locking up the wheels, causing the vehicle to skid. Locked wheels significantly reduce your ability to control the vehicle and can lead to an accident. Always try to avoid or limit turning the steering wheel while braking heavily unless in very low speeds.