I've read somewhere about a Glitch that allows you to have both weapons sheathed?
I'm on ps3 so no mods.
Has anybody come across this? If so, how do you do it?

I did this once on accident, but all I know is I had sword in right and dagger in left.

Figured it out!
I equipped a sword in my right hand, and a dagger in my left.
Then unequipped my armour, then put it back on and it works for me, anyway.