The problem seems to be at least in Windows that one can only have one active printer selected OS-Wide. At least under DOS we had LPT1, LPT2, etc.
Since the LCL works the same way in Linux as Windows I do not see a way to have two different printers selected, even if they are in multiple threads. Besides, using multiple threads in the case still requires multiple passes thru the data, it just has two separate processes doing it.