"Is there a way, somehow, to have the Domain B linked to Cloudflare and their Domain A linked to the Domain B which is linked to Cloudflare ? Like this, if they try to access the website from Domain A or Domain B, they both benefit of Cloudflare."
Probably would need more details in a support ticket. Based on what I'm reading, however, you can't point a domain not on CloudFlare to one on CloudFlare (can cause DNS resolution errors).
If the client doesn't want to switch the domain to us entirely, then they could look at doing a CNAME setup.