Can you please elaborate what you mean with

its not possible to pass more than 1 output

It is certainly possible to do a multi-output regression with skorch alongside GridSearchCV. Minimal example:
X = ...
y = ...
assert y.shape[1] == 2

regressor = skorch.toy.make_regressor(output_units=y.shape[1])
net = skorch.NeuralNetRegressor(regressor)
gs = sklearn.model_selection.GridSearchCV(net, params={'module__dropout': [0, 0.1, 0.2]}, scoring='neg_mean_squared_error')
gs.fit(X, y)