The Red Sox defeat the Yankees, 8 – 0, scoring their runs on grand slams in back-to-back innings by former college teammates John Valentin and Mo Vaughn. It is the first time ever that two grand slams account for all the runs scored in a major league game.

On May 2, 1995 — The Red Sox defeat the Yankees, 8 – 0, scoring their runs on grand slams in back-to-back innings by former college teammates John Valentin and Mo Vaughn. It is the first time ever that two grand slams account for all the runs scored in a major league game.

Source:
Baseball Reference May 2