I have heard this on German flights.
Captain Mrs xxxx yyyyyyy
Sounds weird to me.
Personally I introduce the lady's exactly the same as I do myself First Name then Family name. In central Europe.
In Scandinavia Northern countries I just use first names as the punters up there are very like Scottish people and don't go for much formality and they you get a better reaction from them all if you give them a more personal introduction. Its not uncommon for them to give you a personal thanks afterwards when you do. They remember up there it can be 6 months between trips with you but they remember. And they have no problem putting pen to paper when they like the flight and when they don't.
Where as further south they seem to prefer for you to refer to yourself by your job title.
As an example the way I would do it from say LGW to DUS with made up names.
"Good evening lady's and gentlemen this is your Captain Andy Jones, joining me on the flight deck today is First Officer Ann Doherty who has the pleasure of flying you today to Dusseldorf. The wx on route ....."
Then from then on only refer to Captain and First officer.
Where as up North I would use.
"Good evening lady's and gentlemen this is Andy your Captain today, joining me on the flight deck is Ann who has the pleasure of flying you to Helsinki. The wx on route ....."
And from then on just use first names and drop the job titles.