This idea just strikes me some days ago, and it's still turning... I'm not sure it is even possible to perform.

Ingredient:
you need a male and a female.

Recipe (long)
The female have her inner lips pierced by four holes, two on each lips, not too close of each other but not too distant either. Piercing gauge should be at least 10 and at most something like 8 or 6 (10 gauge is about 2.5 mm, 8 is about 3 mm). The piercing must be fully healed (so that's a bit long for a quick scene)

The male must still have his foreskin and also get four foreskin piercing. Classical foreskin piercing is only two, at 3 and 9 o'clock position. It is probably safest to only pierce two at a time, allowing healing before adding the next. the position of should be approximatively 1:30, 4:30, 7:30 and 10:30. The piercing gauge should be in the same range (10 to 6, 2.5 to 3.6 mm: smaller would be too cutting, bigger would be too cumbersome.
The piercing must also be fully healed and that's really longer.

And now, for the punishment/enjoyement:

Take the male, and fit his piercings with classical captive bead rings, just classically, one ring per hole.
Take the female, and fit her piercing
also with some other captive bead ring, but before closing them, pass the ones from the male inside (just like you would be making a chain with link).

There you end up with the male penis' head able to reach the entrance of vagina, but unable to go further... and it cannot withdraw either.

Now, have some fun with both, so they get aroused (if they are not already), keeping them at the entrance forever... who said Siamese by the sexual organ ?

P.S.: I doubt that it would be possible to use the very same rings on both (thus limiting to 4 instead of 8), even if it could be done with circular barbel.
But circular barbel are fare too easy to remove, whereas captive bead ring required some tools (that is out of reach of the two once closed...)

Just a thought so far.