As far as I know, this is not supported behaviour within DBI or any existing module which supports DBI - Nevertheless, it would not be particularly difficult to create such a module which when called would create its only individual DBI handles to the respective database servers and when passed a execution request, forwarded it onto each DBI handle.

Update - Have a look at DBD::Multiplex as pointed out by lhoward in the post below

 

Ooohhh, Rob no beer function well without!