Alice trusts Bob only when Bob trusts Alice some story first: Alice and Bob both have public/private key pairs. Now Bob wants Alice to sign his public key id. Alice agrees but only when Bob signs the public key id of her.

Is this something that can be achieved? at the end, the signatures should only be valid or extractable if Alice and Bob did both made their signatures.

Is this something PGP supports? Is this somehow possible in general?

EDIT: There is a mthod of "Private Set Intersection". May by this can somehow applied to this case? Or maybe there is a similiar technique i currently not aware of.
This sounds like a fair exchange protocol where what is exchanged is a digital signature. 
Per this paper, these are impossible without trusted third parties. 

With a trusted third party, they are possible. Indeed people have proposed schemes that do what you describe again relying on a third party in the case of failure.