How's this for cutting down your wedding costs? Share the celebration with 20 of your closest friends!
Even on a more reasonable scale, I'm not sure how well a joint wedding would work... unless you and your sibling are marrying another pair of siblings, you don't really wind up cutting out any family members, and, for us at least, that's the bulk of our guest list. You have to find a larger location - though probably not twice as expensive - and I don't think that many other costs go away.
Even if you do manage to reduce the costs significantly, can it possibly be worth the added aggravation of trying to get four (or more!) people to agree on everything instead of two? And do you all send the same invites or does each couple pick out invitations for their own guests? Sounds stressful.