Although Roxas didn't know it, he was the Nobody of more than just one boy. He was a very special Nobody - most Nobodies just have a borrowed body, but Roxas also had a borrowed heart. So it was really no surprise that his connection to his borrowed heart ran as deep as his connection to his Somebody. He had dreams, sometimes, of people he couldn't quite remember, and ghosts of memories in some of the worlds he visited, the feeling that he had seen this world before. But everything was so new and overwhelming, and he often brushed these impressions aside in favor of silent questions about his birth, his name, his identity, his role, his life.
Then came Xion. She was deeply connected to his Somebody. In fact, that was one of the first things she absorbed from Roxas - the inner sense he hadn't quite noticed he had that let him know about his Somebody. Roxas hadn't realized the peaceful, sleepy feeling he sometimes got had anything to do with his Somebody, but a few days after Xion came, it began to disappear. Axel would tease him about it later, calling his first few days in the Organization "zombie days," but Roxas always shrugged it off with a laugh.
Everyone assumed his keyblade came from Sora, but that simply wasn't true. When Xion started absorbing the link between Sora and Roxas, one of the first things she absorbed was Sora's ability to wield a keyblade. The keyblade, like almost everything else about Roxas, came from somewhere else. His borrowed heart had summoned the keyblade by reflex the first time, and after that, Roxas could use the keyblade at will.
Once in a while, Xion and Roxas would compare dreams. Xion's dreams mostly centered around a boy and a girl by the sea, while Roxas's dreams tended to drift towards training to use a keyblade (although he always seemed to be holding his keyblade wrong). There were the occasional nightmares that neither of them discussed because they were rather terrifying, and supposedly impossible. They were Nobodies; they weren't supposed to feel, much less be scared. So, they never talked about the dreams that had them jerking awake in the middle of the night with an unfamiliar name on the tip of their tongue.
While Xion's connections to his Somebody only grew, Roxas's connections to his borrowed heart started to fade.
Xion had been lucky, in a way, for she had been created to be useful, and therefore didn't mind the Organization using her for their own purposes - at least at first. Roxas, however, was independent and wanted answers, and consequently, the Organization's use of him and lack of answers drove a wedge into his soul. The borrowed heart was optimistic and gentle, but Roxas was learning through bitter experience that life as a Nobody was harsh and unforgiving. He hardened himself, and smiled less. He angrily cut off the part of him that had always looked for the best in people, and instead threw himself into the search for why he existed. He knew he existed, he knew he was more than a cast-off part of someone else, but the Organization denied him the answers he so desperately longed for. And bit by bit, his heart grew colder.
By now, Xion was full to bursting with memories and connections to Sora, and Roxas was almost completely cut off from his Somebody. They both ran from the Organization in search of answers, but fate had other plans for them, drawing them back together one last time. Perhaps the bond between Roxas's borrowed heart and his Somebody, echoed in the Roxas's and Xion's bond, was too strong to pull apart so easily.
Xion had found her answers, the reason for her existence, and knew now that only one of them would walk out of this last confrontation alive. But Roxas hadn't found his answers yet, and he only knew that his best friend was attacking him with what seemed to be every ounce of her strength. So he defended himself, and seized every opening to attack. Xion was programmed to attack him, but she let a few openings slide, gave him a few extra seconds to recover, and made a few intentionally clumsy moves. Her programming won't allow her to do anything more. But it was enough. As she faded away, she poured her stolen connection with Sora back into Roxas, back where it had always belonged. The last thing she saw as she dissolved into dazzling white light was the beginning of a tear.
Roxas had never felt so . . . aware of himself. There was an inner sense in him, of purpose, of worth, and of the need to sleep for the next eternity or so. He struggled to his feet, clutching the small shell that was his only proof of Xion's existence. Something else was stirring inside him, something half-forgotten, a link, a sense of someone else that was becoming increasingly noticeable. When the first of the heartless came, he dispatched it easily enough with his keyblade, angrily slashing the heartless with his keyblade until it dissolved into nothingness.
Abruptly, he dismissed his keyblade, and only then did he notice that alongside his regular keyblade, another keyblade had appeared. He frowned, briefly distracted from his rage and grief, puzzling over the meaning strange new keyblade. Roxas didn't know it, but when his connection to Sora had been restored, Sora's keyblade had finally materialized to him.
But even the second keyblade could not save him from his fate. With his last words echoing in his mind,
guess my summer vacation is . . . over,
he felt himself fading away. But in some way he could not quite place, it felt less like disappearing, and more like lapsing into a deep sleep; a sleep that had lasted for a very, very long time. And the secret part of him - the part that was still searching for the goodness in people - finally relaxed, and was at peace. As he faded into sleep, the feeling swept over his entire being, and, for the first time in a very long while, Roxas smiled.
Okay, so I've always felt that maybe Roxas is really Ventus, or at least a lot more connected to Ventus than we assume. I mean, we already know Roxas has Ventus's heart, and it wouldn't be that much of a stretch to assume that Roxas is a memoryless Ventus, manipulated by the Organization to become the darker, colder, lonelier person we see as Roxas. (Watch Roxas's first few days in Organization XIII, then watch Ventus in his early days as Master Eraqus's apprentice. They're practically identical, except Ventus sleeps more). The ending reflects this theory, but you can always just read it as Ventus's heart going back to sleep now that Roxas is going back to Sora if you think Roxas and Ventus are two different people.
As for Xion absorbing the "Sora" parts of Roxas, it's not shown to be canon, but it might be. There's nothing to say something like this didn't happen, and it really does explain why Roxas got his second keyblade after Xion dies. I guess what I'm trying to say is, none of this happened onscreen, but it's plausible that it happened offscreen. Anyways, thanks for reading!