A "Thru" output typically is a copy of the MIDI input, but does not merge data from anywhere else. The Impact LX 88+ certainly does not do such merging.
If the other keyboard has such a merge function, then it can be used. (But I don't know of any keyboard that has this.)
USB makes a strict distinction between devices and hosts; a keyboard can be connected only to a host. There is the Kenton MIDI USB host, but it's expensive.
The easiest way to solve your problem would be a MIDI merge device.