We theoretically study a simple non-equilibrium quantum network whose dynamics can be expressed and exactly solved in terms of a time-local master equation. Specifically, we consider a pair of coupled fermionic modes, each one locally exchanging energy and particles with an independent, macroscopic thermal reservoir. We show that the generator of the asymptotic master equation is not additive, i.e. it cannot be expressed as a sum of contributions describing the action of each reservoir alone. Instead, we identify an additional interference term that generates coherences in the energy eigenbasis, associated with the current of conserved particles flowing in the steady state. Notably, non-additivity arises even for wide-band reservoirs coupled arbitrarily weakly to the system. Our results shed light on the non-trivial interplay between multiple thermal noise sources in modular open quantum systems.