Would it matter if the trees were of different types (e.g. apple, pear, cherry, plum)? Will the interwoven branches interfere and cause problems, or will they play nicely together?
The drawing you've posted is more similar to pleaching rather than espalier forms. If you want to do this kind of thing with different fruit trees, I can't imagine you'd be able to rely on getting a good crop from them because of the necessity to continually prune and train, which will likely mean removing fruit bearing branches and tips, or pruning at the wrong time. Many fruit trees are not self fertile and need another variety of the same fruit which flowers at the same time nearby for pollination purposes too, but if your main concern is creating this design as a boundary rather than for fruit, other than the fact that the varieties of trees you choose, being different, may have different rates and habit of growth, it might work.