We analytically study the role of non-conservative forces, namely viscous couplings, on the statistical properties of the energy flux between two Brownian particles kept at different temperatures. From the dynamical model describing the system, we identify an energy flow that satisfies a Fluctuation Theorem both in the stationary and in the transient state. In particular, for the specific case of a linear non-conservative interaction, we derive an exact Fluctuation Theorem that holds for any measurement time in the transient regime, and which involves the energy flux alone. Moreover, in this regime the system presents an interesting asymmetry between the hot and the cold particle. The theoretical predictions are in good agreement with the experimental results already presented in our previous article [1], where we investigated the thermodynamic properties of two Brownian particles, trapped with optical tweezers, interacting through a dissipative hydrodynamic coupling.