This version creates two threads and loops. It's no good.

PubSub3.cs

/*
Name: One Message: Hi
Name: Two Message: Hi
Name: One Message: Hi
Name: Two Message: Hi
Name: One Message: Hi
Name: Two Message: Hi
Name: Two Message: Hi
Name: One Message: Hi
Name: Two Message: Hi
Name: One Message: Hi
*/

using Microsoft.VisualStudio.TestTools.UnitTesting;
using System;
using System.Diagnostics;
using System.Reactive.Concurrency;
using System.Reactive.Disposables;
using System.Reactive.Linq;
using System.Threading.Tasks;

namespace UnitTestProject1
{
    class Subscriber
    {
        public string Name;

        //Listen for OnNext and write to the debug window when it happens
        public Subscriber(IObservable<string> observable, string name)
        {
            Name = name;
            var disposable = observable.Subscribe((s) => Debug.WriteLine($"Name: {Name} Message: {s}"));
        }
    }

    [TestClass]
    public class UnitTest1
    {
        [TestMethod]
        public async Task Messaging()
        {
            var publisher =
                Observable.Create<string>(observer =>
                {
                    var cancel = new CancellationDisposable();
                    NewThreadScheduler.Default.Schedule(async () =>
                    {
                        while (true)
                        {
                            await Task.Delay(500);
                            if (cancel.Token.IsCancellationRequested)
                            {
                                observer.OnCompleted();
                                return;
                            }

                            observer.OnNext(GetData());
                        }
                    });

                    return cancel;
                });

            new Subscriber(publisher, "One");
            new Subscriber(publisher, "Two");

            await Task.Delay(3000);
        }

        private string GetData() => "Hi";
    }
}