It is shown that small amplitude solitons of a nonlocal sine-Gordon model corresponding to different frequencies of the carrier wave can create coupled states. The effect is due to a change of the dispersion originated by a nonlocal nonlinearity. Within the framework of the multiscale expansion such pulses are described by a system of nonlinear Schrödinger equations which possesses coupled mode solutions in the form of running localized waves (breathers). Such breathers consist of modes with different frequencies and are characterized by two internal frequencies.