I filed a feature request for xPDO:
http://bugs.modx.com/issues/2851
Logically, I tend to think in terms of establishing a connection, then retrieving an object from that connection. Perhaps one implementation would be to add an additional argument to the getCollection or getObject methods... but cleaner would probably be adding attributes to the XML schema definition that specified the source database for any given table (i.e. object). It could rely on aliases, too, so that if you have a custom site_content table (for example), you could give it a separate alias so as not to conflict with your MODx site_content table.
Perhaps it boils down to whether you think of xPDO as an abstraction of a single database, or more as a database handle that abstracts all databases/tables that it has access to.