This is National Enquirer malarkey. Conjoined twins (and grotesque variants thereof) are always identical so obviously they would be of the same sex.
Put it on the shelf next to Barnum's mermaid.
If this pig resulted from two fertilized eggs implanting too close together so that the cells from each embryo intermixed, it is quite possible. It appears to be a chimeric pig (meaning that it resulted from two embryos). And, since it won't suckle, it is also a doomed pig.