This led me to a very nice blog post about double yolks by Laura Erickson.
Besides that poor doomed Peregrine egg, there are a handful of known cases of twin embryos in the wild. American Goldfinches, Song Sparrows, and Brown Thrashers have produced twin embryos. There are also several known cases of embryo twins in waterfowl, but only because such a large number of duck and goose eggs have been studied for various reasons--fewer than a half of a percent of examined wild waterfowl eggs have had twin embryos. Interestingly, in several cases the twins weren’t the fraternal twins associated with double yolks, but identical twins, caused when a single fertilized ovum, or yolk, divides into two separate individuals. One 1974 study which included both wild waterfowl eggs and duck eggs inside temperature-controlled chambers found that cold temperatures before incubation could lead to this kind of twinning. None of the embryos in this study survived to hatching.
So twins are possible but unlikely in the world of wild birds. Those grocery store eggs with two yolks are genuine rarities.
Oddly, the next egg I fried from the same dozen had two yolks as well. I haven't cracked the rest, and I'll report back if I see more. The eggs are organic.