I'm replacing a switch with a switch/outlet (GFCI) in my bathroom. The switch will control the bathroom exhaust fan. Currently I only have two wires to work with (hot & neutral...no ground). The GFCI switch/outlet receptacle I bought has a line and load side plus two black wires that I assume control the switch. I don't know what to do with the two black wires that control the switch. I'm assuming I do nothing with the load side considering that I am only working with two wires that were connected to the old switch.
Based on your description, you cannot do what you want unless you run additional conductors.
It sounds like all you have in the box is a switch loop. Meaning you have a wire coming "from" the fan, and a wire returning "to" the fan. The wire "from" the fan will be electrified, while the other wire will only be electrified when it's connected to the electrified wire through the switch.
In a setup like this there's no neutral in the box, so you can't install a receptacle. If you replaced the cable between the fan and the switch, you could use a cable with an extra wire. That would allow you to included the required neutral.