If a customer purchases an Item is there a report to show then this was purchased and the associated Sales Order.
Customer Item statistics report will show you items bought against the Sales order.
Is there away to show the Sales Order on this Report as well?
Yes, If you filter on the Document no. field in Value entry(which is nothing but the Posted sales invoice no.) you will get the Posted sales invoice no. Once you get the Posted sales invoice no. you will get the Order no. field which is nothing but the Sales order no.
If I understood correctly you need 1 report which shows per customer - list of items (based on filters) and linked posted and non-posted sales document.
If it is, you need to develop this kind of report.