This has been done before, with air shocks cross-linked (air tubes connected)
The probem is that air is not DIRCET enough....that is to say air can be commpressed some....Hydraulic fluid would work better in theory as it does not commpress like air and therefore would be more direct-acting....I thought much about this design too. however all the hydraulic lines and work may make it less desirable and more expensive than a direct solid steel link....