Create Range Across Sheets

This is more acedemic than anything, but I'm trying to create a range that refers to ranges on more than one sheet... is this possible? "Union" doesnt appear to work when the ranges are on different sheets. Netither of the Set My_Range3 statements work below.

Option Explicit
Public Sub test()
Dim My_Range1 As range
Dim My_Range2 As range
Dim My_Range3 As range
Set My_Range1 = Worksheets(1).range("A1:A10")
Set My_Range2 = Worksheets(2).range("B1:B10")
'Set My_Range3 = Union(My_Range1, My_Range2)
'Set My_Range3 = range(My_Range1, My_Range2)
My_Range3.Interior.ColorIndex = 3
End Sub

Both Set My_Range3 statements will work if the ranges are on the same worksheet.