You can join tables of multiple database in SQL and set in select_command.
http://stackoverflow.com/questions/5698378/mysql-join-between-tables-in-2-different-databases

If sql query solution is not suitable, you can use demos/loading/php-array sample code. Use normal mysql_query functions to fetch data from databases and fill that array, that will be populated in grid. DML operations are not there in array based grid.