There is more of a backstory behind the scenes and connecting both from their FCW days; but the question is would the WWE consider scrapping both of their current single's careers to merely form another tandem/duo/unit/what have you, for no better reason than to simply add one more team to a very poor Tag Team division.
I say no.
A little over a year ago, when Sheamus won the Heavyweight Championship at TLC against Cena, they showed a backstage shot of Sheamus running into McIntyre, and they kinda had a "thing" there. It was nothing more than the WWE playing off the connection that people KNOW about, but not adding or expanding on it.
Sheamus recently won the King of the Ring, which at this point has done nothing more than given him a new gimmick to toy around with until Triple H returns to finally finish off whatever could be left from their feud (that is already getting forgotten the longer it's held off).
Meanwhile, McIntyre has recently fallen into a new storyline of his own with Kelly Kelly that reminds me of that regarding Christian/Jericho/Trish Stratus, or even Kane/Lita when Lita was having Kane do her dirty work.
I think both are currently tied up in their own single's career and different directions, that to bring them (guys from two different Brands) together, could hurt them worse than help them. At least at this time. Now, when the assumed yearly Draft comes back around - should they end up on the same Brand, then; by all means bring them together and work them into a unit to help one another at that time. Not until they're finished with their current paths, now, however.
EDIT: Also, Kelly Kelly helped Edge, but the more revolving story (at least at this time) is that she ATTACKED Vickie Guerrero, which could lead McIntyre and Ziggler to feud - not Edge and McIntyre. Perhaps it'll turn into a story where Kelly and Ziggler are revealed as something? Eh, another discussion for another thread, just wanted to point out that the issue at the Rumble doesn't directly indicate an Edge/McIntyre showdown is looming.