iOS weather widget that displays two locations
You're asking about a single iOS app that shows the weather on the lock screen for two locations simultaneously?  I don't have an answer for this exact scenario, but the built-in iOS weather app for iPhones will display the weather for many locations.  You can see the current weather for multiple locations simultaneously, and you can see the forecast for one location at a time and swipe back and forth to see the next or previous locations.

In the weather app, click the menu in the bottom right corner:



This shows all locations that you've set.  You can see the current weather in all that fit on the screen (as well as if it's day or night). Click the "+" in the lower right to add a new location: 



Then type in the first few letters of the location you want to add: