Probably a dumb question, but how do you set a PAIR of weapons as a favourite, so you can hit one button to equip them? The UI is particularly obscure here, and at times I've thought I achieved it, only to find that I pull out the healing spell and then try to swap back and it doesn't.

I'm trying to play a Redguard dual-wielding scimitars (as Rayya does), but this detail is getting in the way.

I don't think you can. I have always had to left and right click on my character's weapons from the favorites menu.

Not a dumb question at all. I wish I had a better solution than what King Coin mentions.

The favourites dialog has options for grouping etc. but I can't figure out what they mean. At one point I got an extra set of options displayed, that implied I could save the current configuration of spells/weapons, but it didn't do anything I could detect when I used the indicated key. I suspect it was designed to allow it, but it never worked.

If they're the same weapon and not upgraded then you can hit the same hotkey button twice to equip both, same as with spells.