The status effects which you turn the Pokemon in a direction cannot be on-top of each other. Poison and Burn use markers, so they can stack together (burn and poison damage.)
So in total a Pokemon can be:
Asleep + Burned + Poisoned
Confused + Burned + Poisoned
Paralyzed + Burned + Poisoned
Asleep + paralyzed + confused
If a Pokemon is asleep and is then paralyzed, it becomes paralyzed and replaces the sleep condition.
An asleep Pokemon must wake up to retreat.
A paralyzed Pokemon has to wait till the next turn to be back to normal (retreat)
A confused Pokemon may retreat, but has to flip a coin if it wishes to attack.