You say you just updated to iPad Air...Do you know which model you got? If you got the newest one, then it's most likely got a USB-C connector on the bottom. You can purchase a USB-C to headphone splitter and connect a couple of sets of headphones that way. You can get one that just has two ports for headphones, or you can get something that has a USB-C port with it to allow for charging as well while both of them are plugged in. If you still have a lightning port on the bottom (if it's an older iPad Air model) you can still find the same type of splitter connector for that as well.
If you're looking to go wireless and using bluetooth then you're going to have to get a couple of pairs of bluetooth headphones that are compatible with sharing the audio which are going to be ones like AirPods or some Beats headphone models as those are the only ones that will support this feature with the OS.