You need to consider each 'script' as a separate data connection. So you will have to have 2 connections in your workbook. Please review the information here on connecting to data Quick Start: Connect to Your Data .
Once you have the 2 data sources connected, you can build whatever views you need against each, and then present them all on a single dashboard (collection of views).
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yes, you have to make 2 different connection, and write each sql statement in them.
to establish relationship b/w them(if any) then either you have to blend them or you can do it using cross data base join.