I tried, and failed with PDO and ended up going with:
$db = new queryFactory();
$db2 = new queryFactory();
$db->connect(DB_SERVER, DB_SERVER_USERNAME, DB_SERVER_PASSWORD, DB_DATABASE, USE_PCONNECT, false);
$db2->connect(DB_SERVER, DB_SERVER_USERNAME, DB_SERVER_PASSWORD, DB_DATABASE2, USE_PCONNECT, true);
Also had to add the define for DB_DATABASE2 to the configure.php file.
Hope it helps other zen cart users. Simple really :)