Yup, perfectly possible. It's not one foreign key though, it's two foreign keys, one referencing each of the tables

CREATE TABLE sample1(id INT PRIMARY KEY)

CREATE TABLE sample2(id INT PRIMARY KEY)

CREATE TABLE sample3(

id INT PRIMARY KEY,

CONSTRAINT fk1 FOREIGN KEY (ID) REFERENCES sample1 (ID),

CONSTRAINT fk2 FOREIGN KEY (ID) REFERENCES sample2 (ID))

GO

INSERT INTO sample1 (ID) VALUES (1),(2),(3)

INSERT INTO sample2 (ID) VALUES (1),(2),(4)

INSERT INTO sample3 (ID) VALUES (1) -- succeeds

INSERT INTO sample3 (ID) VALUES (2) -- succeeds

INSERT INTO sample3 (ID) VALUES (3) -- fails because there's no matching value in sample2

Bit of an odd thing to do, but does work.