Hello.
Is it possible to run Jazz Jackrabbit 2 in vertical split screen mode ?

Yes, but you have to edit the level with JCS and change to vertical splitscreen in Level properties. There's no easy setting to change it as far as I know.

djazz is correct. Splitscreen orientation is saved on a per-level basis, and only levels that are very vertically oriented, such as the second race level, are natively vertical.