Not under the same transaction, but you can manage that on your own.

Connection 1: BEGIN TRAN

Connection 2: BEGIN TRAN

Connection 1: Modify some data

Connection 2: Modify some data

-- If modifications on connection 1 and 2 both succeed without error --

Connection 2: COMMIT TRAN

Connection 1: COMMIT TRAN

-- If modifications on connection 1 or 2 both encounter an error --

Connection 2: ROLLBACK TRAN

Connection 1: ROLLBACK TRAN

You could also look into leveraging the DTC (Distributed Transaction Coordinator). It is much more robust and does similar steps to what I have shown for you automatically. It can also work across different physical servers as well, and not only for database operations.