Awww-- how fun-- congrats to you and your sis. It will be really nice to have cousins growing up so close together.
I would only do a combined baby shower if you are keeping the guest list to immediate family; meaning that all of the guests invited would be people that you would invite to both of your showers if you were going to have separate ones.
I think it will get hairy if say, you want to invite your personal friends (friends from college, work etc that don't know your sister) and vice versa.
Think about if you rec'd an invite like this and you only knew one of the MTBs. Would you feel obligated to bring gifts for both? I probably would, and I don't think I am alone in thinking like that. It might make your guests feel strange, and you don't want to do that.
Also, would you open up gifts at the same time? Would you open them together? Would you have to coordinate both opening the gifts from Aunt Mildred at the same time? Logistically it might get confusing.
I think once the excitement wears off you might decide that separate showers is best, and if not I wish you only the best.
Edited to add -- I should have just said -- Ditto PPs!