You can do this a couple of ways:
Option 1: use pd.concat with set_index
pd.concat([df_confirmed.set_index(['Province/State', 'Country/Region']),
df_recovered.set_index(['Province/State', 'Country/Region'])],
axis=1, keys=['Confirmed', 'Recovered'])
Option 2: use pd.DataFrame.merge with an left join or outer join using how parameter
df_confirmed.merge(df_recovered, on=['Province/State', 'Country/Region'], how='left',
suffixes=('_confirmed','_recovered'))
Using pd.read_csv from github raw format:
df_recovered = pd.read_csv('https://raw.githubusercontent.com/CSSEGISandData/COVID-19/master/csse_covid_19_data/csse_covid_19_time_series/time_series_covid19_recovered_global.csv')
df_confirmed = pd.read_csv('https://raw.githubusercontent.com/CSSEGISandData/COVID-19/master/csse_covid_19_data/csse_covid_19_time_series/time_series_covid19_confirmed_global.csv')