But, presumably, you might end up with a maze that you can't get from the left edge to the right edge because the joining hole in the middle hasn't been generated. Which would be less than fun to play.
(I had the same thought and wondered if e.g. PacMan256 etc. were using this.)
You could, but if you ever terminate the maze then it will join up the two halves... so it ought to be fairly trivial to add a modification that enforces merging all sets periodically, or at specific points, without finalizing the maze.
I went ahead and implemented it in TypeScript (https://www.npmjs.com/package/lazy-eller) and that would only require a minor modification to the final row sub-algorithm to permit additional downward connections.
Basically, you can lazily generate a maze of infinite length. That's pretty cool.