Actually my setup is a bit different. I often run PX4 + gazebo on one machine, and QGC on another. I haven’t tried PX4 on one and Gazebo on another, but I don’t see why it wouldn’t work if you find where the connection is configured.
Here’s where Gazebo opens the mavlink connection. https://github.com/PX4/sitl_gazebo/blob/2c64ddd7419a96df36809411959f87d7b88e6e06/src/gazebo_mavlink_interface.cpp#L430