I'm supposing that both functions are enough secure (i.e the output seems random, and there is no more efficient attack to find preimage than brute-forcing).
The idea for proof of work is based on the following assumption. Find an $x$ such that
$H(y|x) =O^\lambda w$, for a fixed $y$ takes a time $\approx2^\lambda$.
Then if you suppose that $H_1$, and $H_2$ are "independent" (finding a solution for one hash function doesn't help you to find a solution for the other one), then solving the two puzzle will take a time $\approx2^{\lambda_1} + 2^{\lambda_2}$. Notice that's much smaller than $2^{\lambda_1 + \lambda_2}$.
Thus : solving two independent puzzles with parameters $\lambda_1$ and $\lambda_2$ is much easier than solving one puzzle with parameter $\lambda_1 + \lambda_2$.
Does it answer to your question?