This option is not available “out-of-the-box”, but you can do it using some tricks.
1) Run Data Model Editor (DME) and create a new data model based on connection to the first database. Add all the tables from that DB you need.
2) Then connect to another database using Model | Model Settings… menu item. Again add the tables you need from that database.
3) Add necessary links between tables from the first DB and tables from the second one.
4) Don't forget to set Formats.UseDbName option to true in your code:
query1.Formats.UseDbName = true;