Taylor expanding,
$$ f(a+x) = f(a) + x \cdot \nabla f(a) + \frac{1}{2} x \cdot Hf(a) \cdot x + o(x^2), $$
so the Taylor expansion of $\nabla f$ is
$$ \nabla f(a+x) = \nabla f(a) + Hf(a) \cdot x + o(x), $$
remembering that $Hf(a)$ is symmetric. Thus,
$$ (\nabla f \times \nabla g)(a+x) = (\nabla f \times \nabla g)(a) + (Hf(a)x) \times \nabla g(a) + \nabla f(a) \times (Hg(a)x) + o(x), $$
or setting $n=\nabla f(a)$, $m=\nabla g(a)$,
$$ (\nabla f \times \nabla g)(a+x) = n \times m + (Hf(a)x) \times m + n \times (Hg(a)x) + o(x) $$
provided that $\nabla f(a)$ and $\nabla g(a)$ are not both zero at the same time (if they were, we would have to go to $(Hf(a)x) \times (Hg(a)x)$, and the whole thing is more complicated, although not especially difficult).
Now, $Hf$, being symmetric, can be decomposed into three linear maps, $ Hf(a) = \alpha n n^T + an^T + n^T a + A $, where $\alpha $ is a number, $a$ is vector perpendicular to $n$, and $A$ is symmetric with $ An = 0$. Likewise, $Hg(a) = \beta m + bm^T + mb^T + Bk$, $b^Tm=0$, $Bm = 0$. Then
$$ (\nabla f \times \nabla g)(a+x) \\
= n \times m + (\alpha nn^Tx + an^Tx + na^Tx+Ax) \times m + n \times (\beta mm^Tx + am^Tx + ma^Tx+Bx ) + o(x) \\
= n \times m (1+(\alpha n + a + \beta m + b )^T x) + (n^Tx)a \times m + (m^Tx)n \times b + (Ax) \times m + n \times (Bx) + o(x) $$
If we now take $n \times m=0$, the first term vanishes, and there is a constant $\lambda$ so that $m=\lambda n$. Hence
$$ (\nabla f \times \nabla g)(a+x)
= n\times \Big( \lambda(b-a)n^T x + (B-\lambda A)x\Big) + o(x). $$
This was rather messy, but the moral of the story is that the rank of the linear map acting on $x$ on the right-hand side is at most $2$, because the result is always perpendicular to $n$. Hence there is always at least one direction for $x$ so that $(\nabla f \times \nabla g)(a+x)$ remains zero for $x$ sufficently small, so the set $\nabla f \times \nabla g = 0$ is locally a line, and may be higher-dimensional if $f$ and $g$ are chosen appropriately (obviously $f=g$ gives all of space, for example).