Tomaz Kastrun shows a workaround to the “one data set” limit in sp_execute_external_script:
Some of the arguments of the procedure sp_execute_external_script are enumerated. This is valid for the inputting dataset and as the name of argument @input_data_1 suggests, one can easily (and this is valid doubt) think, there can also be @input_data_2 argument, and so on. Unfortunately, this is not true. External procedure can hold only one T-SQL dataset, inserted through this parameter.
There are many reasons for that, one would be the cost of sending several datasets to external process and back, so inadvertently, this forces user to rethink and pre-prepare the dataset (meaning, do all the data munging beforehand), prior to sending it into external procedure.
But there are workarounds on how to pass additional query/queries to sp_execute_external_script. I am not advocating this, and I strongly disagree with such usage, but here it is.
It does feel like a hinky solution, but sometimes you just need to get two data sets in.