Personally, I don't think this is possible as after twins are born, their brains develop separately. If it is possible, I think it would only happen with identical twins as they share the same genes.
Twins have connections that no normal brothers or sisters have. Some say that they have mental connections and they can guess what the other twin is thinking. This may be linked to feeling each others pain.
A set of twins who lived in different countries once bought the same trousers, in the same colour, from the same shop, on the same day. They did this without knowing but they must have had an urge to buy them.
Also, a twin went into labour and the other one got cramps as soon as she did. another example of twins feeling each others pain is that once, a twin hurt her knee and the other twin started limping.