  We study the pion decays with intermediate on-shell neutrinos $N$ into two
electrons and a muon, $\pi^{\pm} \to e^{\pm} N \to e^{\pm} e^{\pm} \mu^{\mp}
\nu$. We investigate the branching ratios ${\rm Br}_{\pm} = [\Gamma(\pi^- \to
e^- e^- \mu^+ \nu) \pm \Gamma(\pi^+ \to e^+e^+\mu^-\nu)]/\Gamma(\pi^- \to {\rm
all})$ and the CP asymmetry ratio ${\cal A}_{\rm CP} = {\rm Br}_{-}/{\rm
Br}_{+}$ for such decays, in the scenario with two different on-shell
neutrinos. If $N$ is Dirac, only the lepton number conserving (LC) decays
contribute (LC: $\nu= {\nu}_e$ or ${\bar \nu}_e$); if $N$ is Majorana, both LC
and lepton number violating (LV) decays contribute (LV: $\nu={\bar \nu}_{\mu}$
or $\nu={\nu}_{\mu}$). The results show that the CP asymmetry ${\cal A}_{\rm
CP}$ is in general very small, but increases and becomes $\sim 1$ when the
masses of the two intermediate neutrinos get closer to each other, i.e., when
their mass difference becomes comparable with their decay width, $\Delta M_N
\not\gg \Gamma_N$. The observation of CP violation in pion decays would be
consistent with the existence of the well-motivated $\nu$MSM model with two
almost degenerate heavy neutrinos.
