Correcting myself. I was ranting about MS SQL and Cognos interaction. I was totally wrong.
The problem, described shortly is:
The answer is simple: there’s no way Cognos can find out that these two databases are on the same physical server. But we can help old fella a bit, setting a datasource property (Content Manager Datasource) the same for both datasources. Therefore, the same datasource prefix will be generated for both tables and they’ll be regarded as residing on the same server. Query speed will increase dramatically.
Always set the datasource property for MS SQL databases located on the same server.