This should do the trick (same as for movies split across multiple files):
TV Shows <- the folder linked to your tv-show library
Show Name
Season 01
Show Name - s01e01 - pt1.ext
Show Name - s01e01 - pt2.ext
Where .ext refers to the actual file extension.
This way, Plex will play both files in sequence and treat them as a single item in your library. However… keep in mind that some clients might not support that kind of stacked files. For this to work the files need to have the same tracks and characteristics (e.g. you cannot stack a SD file and a 1080p file or differently encoded files).
See “Episodes Split Across Multiple Files” in the support article on naming tv-shows.
