Loving two fields is not a good reason to do two PhDs.
The work you do in a PhD is so specific and focused that I guarantee it will "ignore" most of mathematics and most of electrical engineering. Matt Might has a great illustration of this: http://matt.might.net/articles/phd-school-in-pictures/PhD school in pictures
By the time you finish your current degree, you'll have a better idea of what specific area (i.e., subfield) of research you are most interested in (if you still want to do a PhD at that point). Then, decide whether it would be more at home in a mathematics or EE department, and apply to grad school accordingly.