Thisbe started off as Bat-Snake, my internet alias on another forum. Dromio started off as my boyfriend's internet alias "Sonic" (after the "hedgehog"). I had a small storyline for the two, and then decided to create two completely different characters with similar designs.
Their story is that they and four others were part of an illegal experiment out in the middle of nowhere by scientists. The first four were attempted creations of new members for Canidae, Felidae, Aves, and Mustilidae (at one point, there was a rodent, but he didn't quite fit). Thisbe and Dromio came in as an attempt to create an entirely new animal. They were also tests of animal intelligence, and they got too smart to keep locked up, and eventually they escaped. They then try to find the "perfect" home for themselves. I like to put them in a Kingdom Hearts-like adventure where they bounce between places with some form of magic.
The group still isn't as smart as their creators, and probably will never find out how exactly they were created. They do have some side-effects from their mix-and-matching, like that Thisbe and Dromio are extremely weak in their lower bodies and have to ride the dog and cat a lot. Thisbe is also extremely compulsive and annoying (Combine all three of the Warner Siblings with Freakazoid. Thar you go), at she usually gets worn out by it, but can never sleep quite right, thus talks a ton of nonsense in her sleep, keeping Dromio awake. Thisbe and Dromio are also completely and totally sterile, so even if they wanted to, they couldn't breed (the scientists had made them similar in hopes that possibilities of a new animal coming from the two of them, but obviously that was an enormous failure).
I don't think I can find their own plotline that involves them going into different universes, though. For a while, there was one where they had to find their own home AND were chased by former allies of theirs.
In the mixing into different worlds, they come upon a mystical Avalon-ish place that they call Spira Locus (Spiral Place...I hope the translation is right...). Spira Locus is an enormous tree that grew in a spiral shape, and the group (somehow manages to) build on it and it becomes their 'perfect home'. Lots and lots of little rooms on it XD . I like to think of Treetown from Dinotopia, and maybe even the Lost Boys' house in "Hook".
One of the things that made Bat-Snake different from Thisbe is that she had glasses, a different shade of brown, and had a great big floof of fur on the top of her head. Sonic is different from Dromio in that he has a hedgehog back, and blue-tipped "cartoon hedgehog" spikes on his neck. They were both a bit more snake-like in the face, where Dromio is more like a Lapine, and Thisbe is more like a fruit bat.
Some of the universes you've seen them in have been LBT (Thisbe interacting with Pterano) and The Brave Little Toaster (Dromio and Thisbe's date with Lampy and Radio present). I've also had them in The Animals of Farthing Wood, where Thisbe makes numerous distractions for the bad guy and attracts them away from the good guys...mostly by being extremely annoying. I might even put them in Star Wars for the fun of it. Mercy help Thisbe if she annoys a Wookie.
I really hope that made sense...