There are several things to consider when trying to do this:
Are the boards ALWAYS going to be matched? i.e. if you modify one will you modify both?
If not and you put them both together in the same schematic/pcb then changing one means the other also needs changing/ up issuing.
However, if you make them as single boards, Gerber them and provide your board manufacture information on your required panel then they will combine them and make the appropriate panel. It's easy to do and they are experienced at it.
However, if you change 1 board then you will need to redo the panel for both.
You will also need to make special pick/placement machine programs that combine both and/or run the panel through twice.
Or if they are combined into a single board with a score line etc to allow separation then only 1 program needs making.
So once you have considered everything, to return to the original question, its is generally not a good idea to do it in the CAD package.
However it can be done as suggested by combining 2 schematics into one, on the PCB separate each boards parts and make a single board (assuming you are only allowed a single board outline) and using a board outline that covers both, perhaps with some score lines or routing path shown. Then it will be made as one, however you have the previous things to consider.
Oh - I have not even started on parts lists yet.....