Unfortunately, this is not really possible in yEd.
The best you can do is to fake a single ege by assigning both edges the same coordinates for their bends and connection points. Some of yEd's layout algorithms are able to do that in a semi-automatic way. The general idea is to assign both edges to the same edge group using "Tools" -> "Contraints" -> "Edge Grouping" and then run e.g. "Layout" -> "Hierarchical Layout" or "Layout" -> "Edge Routing" -> "Orthogonal/Polyline".
