Note that the overwhelming majority of problems fit the criterion you're looking for: both the problem and its complement are not semi-decidable. This is because there are only countably many semi-decidable problems but there are uncountably many problems.
For an example, let $H$ be the halting problem for Turing machines and let $\cal{M}$ be the class of Turing machines with an oracle for $H$. Let $H_2$ be the halting problem for $\cal{M}$. I claim that neither $H_2$ nor $\overline{H_2}$ is semi-decidable
We can show that $H_2$ is not decided by any machine in $\cal{M}$: the argument is the same as the argument that the ordinary Turing machine halting problem $H$ is not decided by any ordinary Turing machine. Now, suppose for contradiction that $H_2$ is semi-decided by some ordinary Turing machine $T$. Well, with an oracle for $H$, we can test whether $T$ halts for any particular input, contradicting the fact that no machine in $\cal{M}$ decides $H_2$. So $H_2$ is not semi-decidable.
It remains to show that $\overline{H_2}$ is not semi-decidable. First, note that it is semi-decided by a machine in $\cal{M}$: again, the argument is the same as $H$ being semi-decided by an ordinary Turing machine. $\overline{H_2}$ cannot be semi-decided by some machine in $\cal{M}$ because, if it was, $H_2$ and $\overline{H_2}$ would both be semi-decided by machines in $\cal{M}$, so both languages would be decided by machines in $\cal{M}$. But we already know that $H_2$ is not decided by any machine in $\cal{M}$. Therefore, $\overline{H_2}$ is not semi-decided by any machine in $\cal{M}$. Further, $\overline{H_2}$ is not semi-decided by any ordinary Turing machine, since $\cal{M}$ contains every ordinary Turing machine. (An ordinary Turing machine is a Turing machine with an oracle for $H$ that never uses that oracle.)