I take it that you're referring to identical twins because in the case of fraternal twins, the woman produces two eggs which are fertilised by two separate sperms and this results in two separate babies with an unidentical make up so they're definitely going to have different finger prints.
I dentical twins on the other hand are identical in a lot of ways, because they are often a result of cell division or should I say mitotic division.
Because of this, the zygote divides into two or more which have the exact same genetic make up but this doesn't mean that every single cell that is produced from these two zygotes will be the same. The formation of fingerprints are random and unique to every human being, whether or not they developed in the same womb or not.
The formation of fingerprints can be affected by a lot of things during the gestation period, things like fluctuations in hormones. They are formed as a result of the baby touching the walls of its environment or in this case embryonic sac. No two babies will interact with their surroundings in exactly the same way and as such they can't possibly have the same finger print.