Our families in two countries each want to hold their own reception. Does the walimah have to be held twice?

It does not; the sunnah of walimah is fulfilled with one reception, and a second is only a permissible option if you can afford it. What is asked of us is to feed people as a sign of gratitude and to make the marriage known. If the families in both countries want to celebrate, the second event can be a smaller meal welcoming the new in-law. Count the cost of tickets, accommodation and leave before agreeing, so that your married life does not begin in debt. After the contract, the two of you are already lawful to each other even if the second reception has not yet taken place, so do not let the gap between the two events cause misunderstandings in the family. The blessing of a celebration does not lie in how many there are. See the ruling on walimah.