There might be some truth to it, but best I've read it could be a mix of coincidences, and probably alot of pseudoscience. Also its not twins per se but actually identical twins that are said to have that kind of connection. This is primarily because they are essentially clones of each other and would in theory have the same brain chemistry...
However, there is a difference between identical and fraternal twins. fraternal twins are basically the same as a brother and sister, or brother and brother, or sister and sister who aren't twins, in that they are genetically completley different individuals. This is what Rosella and Alex would be.
Identical twins on the other hand are genetically the same. Its the identical twins that studies have looked at as having that so called "mysterious bond". They have found that those seperated at birth, seem to develop similar habits and tastes. But again in general your habits are based on a mix of your environement, and not so much your "genetic makeup". Thus many studies have said its probably more coincidental, anecdotal, and fogged by pseudosicence.
Actually I read a journal article a couple of years back, that talked about two identical brothers, where one was homosexual, and the other was heterosexual. One was more masculine, and the other more feminine. One liked GI Joes, and the other liked Barbies... basically. Both were raised in the same family, both given equal love, education, etc. So in that case environment and upbringing didn't seem to be that big of a factor.
Seriously we really don't know much about what makes the brain tick, :p...
As for fraternal twins, I've read that they can have a strong connection but that's more to do with being together all the time, infact two siblings who grow up together but arent' actually twins could have the same potential to develop a deep understanding to each other. But fraternal twins growing apart, have little in common.
http://science.howstuffworks.com/genetic-science/twin1.htm
Though understand that example is of identical twins, basically clones from a single egg and a single s****. (identical twins are always two males, or two females) as in biological identical. So it wouldn't actually apply in the case of Alexander and Rosella. If we were talking real world...
fraternal twins on the other hand are essentially the same as having one baby born each year :p... and having them grow up together. They are biologically different.
Although its a common misconception that all twins are created equally, when its really just identical twins that are "equal"... :p...