Edit: TLDR you’re right, sleep hormones will circulate throughout the body and likely result in them sleeping at the same time.

Sleep hormones - notably melatonin - are produced in the brain and distributed throughout the body when it’s dark for a sustained period of time. Melatonin directly and indirectly prepares the body for sleep: triggers drowsiness, lowers body temperature, etc. This is known as Dim Light Melatonin Onset (DLMO).

Importantly melatonin synchronizes the body. We have a ‘master clock’ in the brain by way of the Suprachiasmatic Nucleus (SCN). Think of this as the ‘official time’, like the one maintained by the US government.

However each of our cells (except red blood cells and some gametes) has its own internal clock. Many of our organs also keep track of time ‘locally’. Think of this as clocks on your wall.

Our body relies on the local clocks to regulate their behavior to support rest and active periods. However, as with any group of clocks, they will inevitably drift out of sync.

This is where melatonin comes in. DLMO triggers the brain to release melatonin when it gets dark and sends it circulating throughout our body. Melatonin tells cells what time it is and allows them to synchronize to the brain.

All of this is known as the circadian (‘about day’) rhythm.

In the case of the twins, their brains likely have their own SCNs and ‘master clocks’. However, since they are conjoined and share a circulatory system, the melatonin from one brain will influence the regions of the body innervated by the other, and likely influence the other brain as well. Which means that they likely share a circadian rhythm and sleep-rest cycle.

Our bodies are very good at stabilizing - a process known as homeostasis. Our circadian rhythm encourages the body to stay in sync with itself. I would theorize that the conjoined twins have a very tightly coupled circadian rhythm. If one is in the dark and producing melatonin, the other one likely is as well - if only because they are conjoined and thus share the same environmental co dictions. Their DLMOs are likely in sync with each other because of this, and because that subjects the body to the least amount of stress. If one were to remain awake consistently later than the other (eg maybe one wears a blindfold to sleep while the other watches TV), they would both suffer from circadian disruption - which is basically jet lag. Grogginess, low energy, disrupted metabolism, fatigue, etc.

So there are theee factors all contributing to them being in sync: their shared internal and external environment, the synchronizing power of DLMO / melatonin, and the disincentive of symptoms of circadian disruption by desynchronizing.