I don't think it would matter whether Goku's Ultra Instinct when they fuse or not, fusing would likely remove the transformation/state. A big point of how Ultra Instinct was stated to function was allowing the body to react instinctively, inhibited by active thoughts, and in the anime it was even shown during the Kefla fight I believe that Goku was struggling when it came to attacking in the form because he was still putting active thought into how he attacked (or something to that accord, I don't remember exactly how Whis worded it). Because of the mental state that seems required for Ultra Instinct, I imagine fusion only makes it more difficult to access/maintain, especially when one of those individuals is the proud Vegeta, who Whis stated multiple times his weakness was thinking too much during battle.