Roxas had a heart. But it was being shared with Sora because the heart has returned to the body. Roxas was a nobody before, but when Sora became human again from heartless, Roxas became whole also. But at a cost, it split the powers of Sora.
The keyblade was also split along with Sora's power thus creating two keys for two equal yet different beings (Splitting the power of the keyblade in half thus explaining why the power of the key stats are smaller. i.e. Ultima was 12 strength in KH1 while it's 6 strength in kh2). Yes, Roxas had his own keyblade but, since the keyblade was split into two, the two keyblades are actually just one power that has two images (split image). It's the same key. When Roxas finally accepted Sora as an equal and fused with him, Sora's power became whole and the keyblade became one key thus explaining why Sora couldn't wield two key's at the time.
Why Roxas wielded Two Keys while Sora wielded one...
Roxas had only half the power of the keyblade while Sora had the other since it splitted into two images of weaker power. While Sora kept using just one keyblade, Roxas used two. Roxas wasn't using the one Sora used during the kh2 storyline. Roxas just split his keyblade in half again thus making both of his keyblades have only a quarter of what they formerly had (i.e. Ultima weapon kh1 - 12 -> Ultima Weapon kh2 - 6. Roxas splitting the ultima into two different keys - Oatkeeper - 3/Oblivion - 3). All in all, 12 divided into two equals 6, 6 divided by 2 again is 3. Even though Roxas had two Keys, they were weaker but gives Roxas more advantage but splitted the power (whole-half key - 6 --> key1 - 3, key2 - 3). Sora on the other hand still had a full half of the keyblades power. Even though Roxas had Oblivion and Oathkeeper, the power doesn't really matter. Those are just mediums for the splitted power of the keyblade to be used.
If that was too long, here's a summary:
Sora had one-half of the keyblade while Roxas had the other. Roxas split his half again into two thus having him have two-fourths of the keyblade (still one-half but one key has 1/4 while the other had 1/4).
Explain much?