Photoshop :: Combining 2 Shapes In CS6

I have a shape, it has no fill, so it's just an outline, let's say it's an outline of a leg.
 
Now what I want to do is draw another outline inside that leg outline, but I don't want 2 end up with 2 separate shapes (2 layers), I want to draw the 2nd outline directly into the first one, so it's all one big vector shape.
 
For some reason this seems impossible to do in Photoshop CS6. If I select combine shapes, from the menu, free form pen tool and then draw the 2nd outline into the 1st outline, when I stop drawing I don't end up with one outline combined (on top of) the first, instead it just seems to do some weird clipping and I end up with the first outline shrinking, and the outline I just drew appearing not as an outline but as a path.
 
This is something that works perfectly in Flash pro, you draw a shape, you draw another one on top and you then have both perfectly combined, no fuss no bother. You can even vary the stroke strength at any point along the line in Flash, I'm not sure this is even possible in Photoshop.

what's going wrong in photoshop or how to do that in photoshop?