Yes, two embryo’s can fuse together completely.
As another poster pointed out, one embryo can also die and just like a fusing of two embryo’s, the living embryo can fuse parts of the dead one to it’s body.
In the same way, an embryo as it is first conceived is not a twin. At a certain point in the process(very early on), a single embryo splits to become two embryo’s.
Since a soul is considered whole, and indivisible, this would indicate the soul is not created at the exact moment of conception.
Already said on this thread, we will never really know, until we die and are able to find out. Given current science however, and current definitions of the human soul, the soul does not appear to be 'created" as soon as the little sperm sets off some fireworks in the egg