"These two" is correct because two is a plural, as you say. The only sensible exception I can come up with is in a very specific verbal discussion.
A signwriter is having trouble deciding how to write a numeral, so he calls a colleague over.
"I'm trying to find way to make this price signage really eye-catching. So which do you prefer? This two," he asked, pointing to a curling, cursive numeral, "or that two?"
Best Answer
Yes, it's grammatically correct, although it would be more usual to say "I have two books, one of which is borrowed".