Class::DBI may not be able to do this (and maybe MySQL can't handle it) - but with Sybase I can have a single transaction span multiple databases on a single connection. You simply have to fully qualify the name of the tables with the database:

begin tran
update db1.dbo.foo set bar = 1 where baz=2
delete db2.dbo.bar where baz=2
commit tran
[download]

(where "dbo" above is the table owner - in this case the "database owner").

Michael