If I remember correctly, you clic on one of the siblings, then "add a sibling" and I think there is an option were it says "a person already on the tree". Also, maybe it would be easier to put at least one of the parents in the tree (if you don't know any, that has happened to me too, I hate it, but sometimes a blank person that just says "mother of John", for instance, can solve many doubts) and then put both siblings as their children, in that way I think they can also end up being linked as siblings.
