The memory itself doesn't have to be contiguous.
2MB of 64K segments maps to 32 segments. So you need 32 locations in physical memory capable of storing 64K.
The programming model for addressing that block of memory necessarily includes both segment selectors and offsets. The segment selectors are indices into a segment table that contains the base address of each of the 32 segments. As long as the segment selectors themselves can be allocated contiguously in the segment table, you have enough to be able to compute which segment you need for which address in the 2MB range. It's the indirection through the segments table that maps it to physical addresses that do not need to be contiguous.
Raymond Chen talks a bit about how it worked in Windows 3.x here: https://devblogs.microsoft.com/oldnewthing/20171113-00/?p=97...