There are a few places you can get hold of wigs like this outside of Japan, you can order from either MintyMix or Cosplay Wigs USA. Both shops have a few different color options and are around $50 for one wig. Or, if you are daring, you can try to create your own split wig with this tutorial. Keep in mind that you're not exactly going to save a ton of money making your own split wig, since you're going to have to buy 2 wigs to cut up and due to the way you cut them you are only going to be able to get one wig out of the two. The upside to making your own is you have complete control over the colors.
Two different kinds of split wigs from indie shops, Cosplay Wigs USA on the left, MintyMix on the right.
If you're looking for some split color inspiration, you can find a few examples in various Gothic & Lolita Bibles, below are some that I stumbled across. This hairstyle works well with any Lolita style, blond and black working well with Gothic, pastel duos work well with Sweet Lolita, and natural duos work well with pretty much any style.
Ever since I saw the tutorial on how to make these I have been looking at my own small wig collection trying to decide whether or not I want to sacrifice two of my three wigs to make a split color wig. I eventually decided on sacrificing my pink wig and buying a purple wig to split with it. I'm still waiting for the purple wig to come to see if it's the right shade of purple, and if it is, hopefully I'll get some pictures of the process up! Why a purple and pink wig when pink and black or black and white or any other number of color combos would be much more suited to me and my wardrobe? Well, let's just say I have plans for something ridiculously over-the-top that should be ready by Anime Boston this year. Speaking of Anime Boston, I just paid for my Artist Alley table : 3 but more about that some other time.