You can save them as one PDF, or as individual PDFs. Choose which individual pages or page ranges you want to pull out. To do that, select Split when the app opens. If you want to customize your merger a bit more, such as by changing the order of pages or only adding in certain parts of each PDF, you'll have to split them first. You can also preview what the merged documents will look like. You have the option to move them up or down, or sort by name. If you just need to merge two documents without changing the order of any pages, choose Merge. It's available through the Microsoft Store for free. We tested a few, and found a solid option in PDF Merger & Splitter by AnywaySoft.
If you're using Windows, you'll need a third-party app to help you combine PDFs.