強引だけどこんな感じ

Imports System.Threading
Imports System.Windows.Forms
Module Program
　<STAThreadAttribute>
　Sub Main()
　　Dim th = new Thread(new ThreadStart(
　　　　Sub() Application.Run(new Form() With { .Text = "Form2" })))
　　th.SetApartmentState(ApartmentState.STA)
　　th.Start()
　　Application.Run(new Form() With { .Text = "Form1" })
　End Sub
End Module