Using the classic parametrization of Pythagorean triples, for a primitive triple to contain two primes, we need
$$ a = |m^2 - n^2|, c = m^2 + n^2 $$
to be prime. Taking $m<n$ WLOG, this means $a = 2m + 1, c = 2(m)(m+1) + 1$ are both prime. There are many examples of this with small $m$:
$$ m = 1, 2m+1 = 3, 2(m)(m+1) + 1 = 5 $$
$$ m = 2, 2m+1 = 5, 2(m)(m+1) + 1 = 13 $$
$$ m = 5, 2m+1 = 11, 2(m)(m+1) + 1 = 61 $$
$$ m = 9, 2m+1 = 19, 2(m)(m+1) + 1 = 181 $$
but these occurrences get sparser as $m$ increases. Are there infinitely many such triples?
This formula $\quad A=2k+1,\quad B=2k^2+2k,\quad C=2k^2+2k+1\quad $ generates the subset of primitive triples where $\,C-B=1,\,$ and only this subset can and does contain triples with dual primes.
By inspection we can see that side-$A\,$ includes all odd prime numbers.
By inspection, we can see taht side-$C\,$ is of the form $\,4x+1\,$ and this includes an infinite subset of an infinite number of odd primes.
When two infinite sets can be shown to correlate at points, we can infer there are infinitely many such points unless reason can be shown why this is not true. Here is a finite sample of these points where Pythagorean triples have dual primes.
\begin{equation*}(3,4,5)\quad(5,12,13)\quad(11,60,61)\quad(19,180,181) \quad(29,420,421)\\ (79,3120,3121\quad(101,5100,5101)\quad (131,8580,8581)\quad(139,9660,9661) \\ (181,16380,16381)\quad(199,19800,19801) \quad(271,36720,36721) \end{equation*}