How late in the development of a fetus/embryo can it fuse wth its twin into a chimera? Could to developing babies partially merge, so that you end up with Siamese twins? If so, has there ever been a case of opposite-sex conjoined twins?
I tried Wikipedia, but the article was confusing.
No clue, but I love your questions, Malleus, and often wonder just what the heck it is you major in. 
The closest thing I could think of is if you had two embryos developing, usually if they end up merging later on, you’d end up with a possibility of aParasitic Twin. Or also kinda interesting the Fetus in fetu phenomenon.
Biology, as it so happens.
From my reading…
A Chimera has to fuse at an early stage of development (zygote or blastocyst), before implantation. Once two separate zygotes have implanted, they form separate placenta and amniotic sacs that isolate development and prevent conjoined development. Once the fetal immune system develops, integration cannot occur.
Conjoined twins are monozygotic and share a placenta and amniotic sac, either from an incomplete splitting of the blastocyst or (possibly) from later fusion.
Sometimes (due to chromosomal errors in the initial fertilization) monozygotic twins could have different sexes (ie, an XXY zygote could split, one part physically expressing XY and the other XX) with identical DNA. This is rare enough, to get a conjoined twin from such a splitting would be pretty incredible and probably non-survivable in most circumstances.
Si
Ah, I pictured something more…esoteric.
But, no shame in Biology.