The book specifically recommends making them other people's friends rather than yours and forbids you from having mechanically relevant Hx between your two characters, thus making them unable to help or hinder each other. So having them be another player's friend or ally rather than yours is likely a better call than having them be your own ally (solo games aside, of course).
That said, you can certainly have your second character be an ally of your first, since nothing actively prevents it...but to be honest, you could usually get similar effects by taking the right moves on your primary character. I can create a Skinner with Hard+3 and Rasputin (or better yet, NTBFW) with only three improvements total, or (at the 'past five improvements' mark) could switch them to Gunlugger (or Faceless) and do it in two and get even more out of it. So...yeah, you can do this, but it's not exactly broken or anything. A lot of attacks even target multiple people, making even having two people to take hits of dubious use.
So, since it's of extremely dubious benefit and less interesting, why do it that way?