Are there action hooks for comments?

In WordPress, almost anything is possible. It all depends at times how hard you want to work for it. 🙂

The Comment Post form of course uses HTTP POST to submit to /wp-comments-post.php so you could use that except for the NONCEs if you want to post unfiltered HTML. You’d have to write a page to give you an acceptable NONCE which Site A would need to HTTP GET in order to be able to submit back to to the comment post form but I think if you don’t mind the filters it should work fine.

Another option is to use a function designed for AJAX but have it capture your HTTP POST from your form and then save your comment to Site B by calling wp_insert_comment(). Or you could use AJAX on Site B to talk to Site A. Of course you’ll be opening up a bit of a security hole by doing that, but if your code isn’t distributed you can decide if that creates a real concern or not.

(Normally I would write up an example but have run out of time today. Hopefully the above sends you in the right direction.)