if you executing this query from your SSMS it means this other server is a linked server. then it should be no different to execute it from SSRS.
Yes it is right you can only add one server to your data source of your dataset whether its a shared data source or embedded.
But for instance if you have a data source pointing to say Server A when you executing queries which will be pulling data from Server A and also from server B you will Use fully Qualified name for the Objects from server B and two part name from server A.
something like this ...
SELECT *
FROM Schema.Table_Name A INNER JOIN [ServerNameB].DataBase.Schema.TableName B
ON A.ColumnA = B.ColumnA
obviously ServerB
has to be a Linked Server
.