"Dual" residencies do exist, ie, Med-Peds, Med-Psych. These usually save you a year or so off doing the residencies back to back but obviously come at the expense of doing dedicated residencies.
Except for these few combined residencies it is probably impossible to do 2 residencies at a time and given the current HCFA funding rules, it may even begin to be impossible to do 2 back to back.
FREIDA (http://www.ama.assn.org) has a list of all residencies; search the database for info on dual residencies.
Hope this helps.