You can get S Gauge Romford axles from the SSMRS, (standard gauge 0.884") but that is a bit too much (22.45mm). You can also get EM (18.2mm) axles.
If you had lathe access you could chop two OO gauge axles to make one at 21mm gauge, chop each into 2, turn one down to make a spigot and drill a hole to suit in the other.
Insert a into b with appropriate adhesive, ideally with the square ends held in a jig.
Or drill a hole in each and put a pin in. Many ways to skin the proverbial Feline.
For our electrically powered locos the squares don't have to be line up exactly but they do all need to be the same.