AGX Cluster

Does AGX support connect with another AGX via Mellanox Infiniband to form a cluster?

No, that’s not supported, but can be connected at endpoint via PCIe, see Jetson AGX Xavier PCIe Endpoint Design Guidelines App Note

How would the PCI to PCI connection be established here? Is there a PCI to PCI cable?

Please check Jetson AGX Xavier PCIe Endpoint Design Guidelines App Note