Seems very hacky, but you could define borders within borders, and make only 1 side have a thickness. For example
<Border BorderThickness="0,0,0,10" BorderBrush="Green">
<Border BorderThickness="0,0,10,0" BorderBrush="Blue">
<Grid>
<Button>Hello</Button>
</Grid>
</Border>
</Border>
would give a green border on the bottom and a blue border to the right. Isn’t the prettiest piece of Xaml though.