Hi, and welcome to the Community Forum!
Sorry, OOo doesn't support merging PDFs like this, aside from merging all the documents together, then exporting the PDF. You can merge the documents by hand (Insert > File or Insert > Sheet From File), or--for a Writer document--try Therabi's suggestion: create a master document that links all the separate documents together.
Note: if the separate document use different formatting, they may not merge together without some work to reconcile the formatting styles.
I'm almost certain that there is software available (not from OOo) to manipulate pdf files, including merging; maybe someone else can make a more specific suggestion.
AOO 4 • Linux • Fedora 17