In this work, we consider an amplify-and-forward two-way relay system with unknown carrier frequency offsets (CFOs) which change randomly. Due to the existence of CFOs, the conventional differential scheme fails. In this case, a double differential transmission scheme is proposed to achieve successful two-way relay transmission over Nakagami-m fading channels. The average symbol error rate (SER) performance of the proposed scheme is analyzed and a closed-form approximation is derived. Simulation results are provided to validate the proposed scheme.