I have an RDBMS (SQL Server/ Oracle) and a Hadoop database on the other end. Primary-key 'customer' is common in both data stores.
A few questions:
Or should I just get all data into an RDBMS data warehouse and then solve for these questions?
Data virtualization or data federation is what you're looking for - i.e. the ability to access a single source that will access multiple resources as needed.
Databases usually have some limited capability in this area which lets you define external tables see for example this link for Oracle and HDFS