You can open two instances of studio Pro the way you would normally open one. It should ask you something like "Hey, an instance is already running, are you sure?" and then you click yes.
If you want to run them both locally next to each other, go to your app settings and change the runtime port to something other than 8080. Not all ports work, I recommend 8081 for instance.
After that, running the application should work!
Here's a workaround for mac:
Simply copy the whole Mendix Studio application (just leave the "copy" suffix) and you can have two running instances of the Studio on Mac.
You also have to change the port number of the Admin Port. Both will be blocked while a Mendix app is running.