Ghost image of Monitor 1 in Monitor 2 with wound together VGA cables

It's a well-known phenomenon, known as Induction [Electromagnetic induction to disambiguate]

In short, any alternating current passing through a wire will generate a magnetic field, alternating at the same frequency.
Any alternating magnetic field will induce an alternating current in a nearby wire, of the same frequency.
The result is that the signals "magically" cross from one wire to the other.

This is the principle by which all old-style wire-wound electrical voltage transformers work, the basis of the electric motor and generator & also the basic principle behind microphone & speaker technology. The latter using the fact that once charged by the alternating current, the wire will want to move one way or another away from a permanent magnet, from which it can't escape.

Your 'cure' in this particular case, is to keep the cables away from each other for as much of their length as possible. Better cables may have better shielding, but the basic principle infers that distance is the solution.