Having two fertilised eggs in the womb makes fraternal twins. Since fraternal twins start out as two separate entities altogether, they would never fuse together to form something like that. Even if they were to implant too close together in the uterine wall, they might come out with a misshapen limb or something from overcrowding at worst. Two-headed anythings are what happens when a single zygote tries to split and produce identical twins and fails to complete the separation. Most of them don't survive because of the strain placed on the single heart, and the ones that do are like this baby girl who doesn't have too many extra blood vessels and organs to power or are actually split apart a bit more and have two hearts.
Here is an analysis of the autopsy of a two-headed calf.
Actually, two-headed things are the work of the devil, and are a portent of dire things to come.
Trust me, I'm a scientist.