I think you meant makroh. (Makruh is not haram, but it is better not to do,as discouraged...). I was only able to find this hadith, yet unfortunately without sources. It is a win-win situation, if you are like me cause the combination turns out to be healthy and quite tasty (perhaps you do not agree with the former!).
قال الصادق (عليه السلام) الجبن و الجوز في كل واحد منهما شفاء و إذا افترقا كان في كل واحد منهما داء
Imam Al-Sadiq (عليه السلام): Walnuts and Cheese each have a remedy, if separated in each is an ailment.
In general, hadiths will not provide causality; in this case, they are usually instructions for us to accept and act upon. This is not to say such instructions require blind faith. Rather, they are built on the fact that we have assessed our religious foundation through logic, contemplation, and investigation leading us to accept Islam. I am sure this fact is obvious to you, however it leads us to say these hadiths save us from the negative effects of life without having to conduct our own research. Nonetheless, research on this topic would be interesting to read.