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Consider the following sentence:

One disadvantage of exams is that students feel really irritated if they mess up one.

Is it correct if I change it to this one?

One disadvantage of exams is that when students mess up one they feel really irritated.

Is it correct and natural to use "that when" in this sentence? I've read in a grammar book that using two relative pronouns is incorrect, but here they do not refer to the same thing.

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    "...mess one up" is correct. This is a separable phrasal verb, and if you use a pronoun object in a separable phrasal verb, the pronoun must go between the verb and the particle.
    – gotube
    Jul 27 at 6:00
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Yes, it is correct and natural to use "that when" in that sentence.

It's also true that you should not use two relative pronouns together. In this context, "that" is not a relative pronoun. Here, "that" is the head of a noun clause, while relative clauses with "that" are adjective clauses.

Some simpler examples to make the difference clear:

I know [that you're leaving].

The portion in [brackets] is clearly a noun because it can be replaced with a pronoun:

I know [something].

Also, there is no noun before it that it modifies, so it's not a relative pronoun.

However in this example:

The bicycle [that I ride every day] is a Norco

the clause in [brackets] is an adjective that modifies the noun "bicycle". This means it's a relative clause with the relative pronoun "that" at its head.

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