Dock Dual Thunderbolt 2 Laptops with dual hdmi out / dual screen sharing?
A dock built to accommodate two hosts will be rare to non-existent.  One reason is few people will want such a thing, and companies build devices for sale that they believe will bring a return on their investment, and another is that how such a dock should behave will be difficult to define, which makes the required investment in building such a dock quite high.
What you are likely going to have to do is build the dock you are looking for from more basic components.  Perhaps a dock for each laptop and a KVM switch to flip the displays between the two computers.
There are software solutions that mimic the function of a hardware KVM, and these may be attractive for you on cost and/or convenience grounds.
Sharing data at high bandwidth will be rather trivial with a Thunderbolt cable between the two.  A quick check of the specs on the two laptops tells me that driving what I assume to be two 4K displays may be too much for either computer to handle on it's own.  To do this might mean driving one display from each laptop or adding an external GPU.  Swapping the eGPU between computers is not likely to be trivial, you may have to pick which computer is driving the screens or have a separate eGPU for each computer.
You may not need a dock, or perhaps not need any additional hardware.  What you need to do is define your goals more clearly and create your two computer system to match.
Here's one idea.  The MacBook Pro can be &quot;permanently docked&quot; and have the two displays connected.  The Bluetooth keyboard and mouse, and any other user input devices, also connected to the MacBook Pro.  When you need to add in the MacBook Air then it would be connected to the MacBook Pro by a Thunderbolt cable.  The Thunderbolt cable will provide a high bandwidth network between the two computers.  Using a screen sharing program between the two computers you will be able to control the MacBook Air from the MacBook Pro.
How the screen sharing (effectively a virtual/software KVM switch) works with the MacBook Air will depend on the specific software used and it's intended behavior.  To have the MacBook Air &quot;see&quot; the two screens on the MacBook Pro will likely require &quot;dummy displays&quot; to work.  These &quot;dummy displays&quot; are video port dongles that will hang off the MacBook Air which will look like an attached display to the computer but have no real screen.
Sharing two high resolution screens will take a lot of bandwidth, even by Thunderbolt standards.  Sharing data over this same network connection will take even more bandwidth.  Spreading this out by using WiFi or some other networking connection will help in resolving what I anticipate to be a bandwidth bottleneck.  Using a hardware KVM instead of a software KVM will mean not relying on a network to move the data for two 4K screens but dual 4K display KVM switches will not be cheap.
Buying the docks, KVM switches (hardware or software), and cables to make this work might end up being a considerable investment.  So much of an investment that it may make more sense to just buy a new computer to replace the two you have.