No, this cannot be changed.
TheTVDB lists the episodes exactly how they were broadcast originally. That is a policy of theirs.
You could try to name your 2 files as a multi-part episode
https://support.plex.tv/articles/200265006-naming-multi-file-tv-show-episodes/
Or you can try to merge your 2 files into one (only works if the 2 files are identical in all technical format aspects):
(and adapt the episode numbers of the rest of the episodes)
