There aren't any connecting studios with a door to join the two rooms together. But there are many within close proximity of one another. You could always request two rooms close together but as you know, there is no guarantee.
If you are particular about other aspects of the room location (specific building, floor, view, etc.) then a request for two studios close together probably puts those other requests in jeopardy. In other words, I wouldn't suggest requesting two studios in the same Congress Park building, on the 4th floor with a view of Downtown Disney. There aren't many rooms that would meet such stringent criteria.
But if you just request two studios near each other, I can't imagine the resort would have difficulty fulfilling that request.