This is a Steinmetz bicylinder. It is formed at the intersection of two identical cylinders at a 90-degree angle. It has the cool property of being able to roll in either direction, but not both at the same time.
Print two of the bicylinder model and one connector cube. Use this to connect the two halves when done printing.
Depending on your type of filament the cube might be too big to fit, so if that happens, print it a bit smaller. I've had different results with different brands of PLA