The Dark Pharaoh herald card states: " Each time an investigator gains a Unique Item (including starting equipment) that investigator loses 1 Sanity ." If say Monterrey buys an Elder sign and gives it to Gloria, do both lose sanity?

I'm of the opinion that trading only counts as "loss" and never as "gain." If trading counted as "gain," too many personal stories (Innsmouth Horror expansion) could be passed too quickly for the wrong reasons (similarly, if trading didn't count as loss, too many story failures could be avoided).

So I'd say that only one sanity is lost per item, because an item can only be "gained" once; and in this case it is Jack who gains it and loses the sanity.