Instead of query builder I just used a direct SQL statement and it works great.
So I have something like this:
$dbConnection = Yii::app()->db;
$db4Connection = Yii::app()->db4;
$dbSql = 'SELECT "db" AS dbconn, tran_id FROM trans WHERE active = 1';
$db4Sql = 'SELECT "db4" AS dbconn, tran_id FROM trans WHERE active = 1';
$dbCommand = $dbConnection->createCommand($dbSql);
$db4Command = $db4Connection->createCommand($db4Sql);
$dbResult = $dbCommand->queryAll();
$db4Result = $db4Command->queryAll();
$result = array_merge($dbResult,$db4Result);