I've tested creating mailing list and campaigns in several Sitefinity versions, and we don't have an option to send the campaign to multiple lists at the same time. However, since a new campaign is a copy of the previous campaign, after you've sent the issue to one mailing list, you can send the same issue to another mailing list.
Do you want to have your say in the Sitefinity development roadmap? Do you want to know when a feature you requested is added or when a bug fixed? Explore the Telerik Public Issue Tracking
system and vote to affect the priority of the items