The thickness of Mylar is the main concern here. Most HP All-in-One printers use a turn style feed mechanism for paper. Mylar is so thin and easily damaged that the rollers often tear or damage the output paper.
One could attempt this type of print, but be aware that the printer may jam with this thin of paper. One could try using the HP Deskjet 9800 driver, as an alternate driver, which allows for many custom paper sizes and paper types. For information on using an alternate driver see Shane_R's thread, found here.
Hope this helps.