I was able to insert two audio widgets on the same page without a problem. If you can add two Media Widgets but are unsuccessful when adding your audio content you may have problem with the audio file type you're trying to load. The Media Widgets will only accept audio files that are QuickTime compatible. If I understood correctly, you mentioned that you were successful in dragging one of your audio files to a Media Widget but were unable to drag a second audio file to the second Media Widget. Try adding the first audio file (the one that was successful) to both Media Widgets. If it works on both, then you definitely an unsupported format for the other audio file that didn't load. A list of compatible audio formats can be found at http://support.apple.com/kb/HT3775
If that's the case, you'll have to convert your auido file to one that is compatible with with QuickTime. There are a bunch of free audio converters on the web that you can use.