Optical elements rely on refraction, diffraction, or reflection for light manipulation. Fusing diffractive and refractive functions in a single element provides an extra layer of control over the wave propagation, allowing complex beam shaping through self-aligned, monolithic and miniaturized optics. Using gray-scale lithography with high-current focused Xe ion-beams, we realized hybrid refractive-diffractive micro-axicons that feature diffractive gratings engraved on their conical surfaces. Furthermore, we fabricated these devices in lithium niobate, which is a challenging piezo/optoelectronic material for processing with an as-yet unexploited potential in optical applications. The curvilinear surfaces of fabricated micro-axicons with a 230-µm diameter were engraved with diffraction linear and circular gratings of various depths (<400 nm), and the optical performance of these components was characterized, showing excellent agreement with theoretical expectations. The fusing of diffractive elements with carrier refractive surfaces introduces additional or enhanced device functionalities, such as beam multiplexing and resolution improvement. The potential applications of such monolithic and miniaturized hybrid micro-optical components include beamshaping for fluorescence microscopy.