It is possible to connect multiple R2 buckets to the same zone, but it is not possible to connect multiple R2 buckets to the same Fully Qualified Domain Name (FQDN). So you could have a bucket connected to r2.example.com and another connected to cdn.example.com, but you would not be able to connect two different buckets to r2.example.com.
For more information on R2 custom domains, I suggest taking a look at this document: