Can wireless radios be joined by direct wire connection?
Yes, you can do that, but:


You will almost certainly need to add an attenuator between the two devices. In most RF systems, transmitters produce enough power to destroy receivers if directly connected. (The attenuator will work in both directions.) You should also reduce their transmit power settings, if any, for efficiency and to need less attenuation.
There may be more leakage than you expect from parts of the device other than the antenna port, since usually that would not be a problem in the design. You may need to add shielding to achieve your goal.
As you already noted, you need the appropriate impedance for the cable, and attenuator. This could be complicated if the two devices have antenna ports of differing impedances, but this is unlikely.