Doing two PhDs one from Electrical Engineering and other from Theoretical Physics
If your aim is to do a PhD in theoretical physics (TP), then you should attempt to get on a corresponding PhD programme straight after your MPhil.

However, this may not be so easy, depending on the suitability of your current qualifications and qualities to TP research (and to the openness of potential supervisors to applicants from EE). So, failing to secure a PhD in TP, you can attempt to secure a PhD in EE (though in practice you may need to apply to both options simultaneously).

I don't think that obtaining a PhD in EE diminishes your chances for a PhD in TP, on the contrary. However, after a PhD in EE, you may very well change your mind and go for a career in EE. You should definitely allow for that option at the outset, i.e. choose the University for any PhD with care: don't just consider a PhD in EE as a step towards TP or a stop gap.