In Florida, I use NM conduit when going through brick or block, mostly to keep the critters out of the boxes. Drill a hole for the conduit, stick a male adapter in the outside box, use plenty of caulk, and fasten the box to the outside wall (Tapcons work well). Put a male adapter in the inside box, cement in a piece of conduit of the proper length, caulk again, put cement on the end of the conduit, push it thru the hole to join up with the outside, and secure the box to the inside wall. Makes a nice clean installation.
Obviously, the size of the hole is determined by the size of the OD of the male adapters (1 1/8" for 1/2" NM, 1 3/8" for 3/4"). I personally don't like sharing the neutral at all. Using 2 GFCI receptacles is cheaper than a single GFCI breaker, I'm pretty sure.