There is not a way to plot the x coordinate from one file and the y coordinate from another natively in gnuplot.
If you use a bash-like shell, you can use the command
paste x_data.dat y_data.dat > xy_data.dat
to combine files row-by row. If you want to put this command into a gnuplot script, you can do so like this:
plot "<paste x_data.dat y_data.dat"
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