If you hooked up two gauges to one thermocouple you would end up with low readings on both gauges. An EGT gauge is basically a voltmeter, the thermocouple puts out voltage, and the hotter it gets, the higher voltage it puts out. The problem being that the gauge and wire are matched to the thermocouple, and if you ran two gauges, there would be twice the load on the thermocouple, causing a voltage drop, and low readings on both gauges.
That would be very bad…. could result in melting down something expensive…. .