Connecting two RF devices
Ground loop currents (from other AC equipment) are not going to be significant if your two modules share the same power supply and that power supply is an isolated type like from a wall-wart.

Also, if you are transmitting a balanced signal and the receiving end has balanced termination resistors, the current flowing in the screen is not significant : -



The signal down one coax will produce a current into one of the termination resistors and this current will not flow back through the screen but continue to flow back thru the "centre" wire of the other coax (via its termination resistor - this assumes that the coax wires are largely the same length (i.e. the two signals received are largely antiphase) and that the two signal levels are largely identical.

If in doubt use screened/shielded balanced twister pair like this: -