I'm not aware of a way to do this directly within the current version of MagicaVoxel (0.99.4 [5/29/2019]).
It's not uncommon for special purpose apps to lack the full functionality of more general purpose main stream software. To get around these limitations, you may need to chain together more than one piece of software to accomplish your goal.
In this case, I recommend opening the
.obj file exported from MagicaVoxel in a general 3d modelling app such as Blender, Maya, 3ds Max, etc. I know that Blender in particular has support for taking multiple objects/meshes and combining such that they are represented as one object.
After combining the objects, simply save the file and use it as desired.
As a final note, if you have a significant number of files to process, you should consider automating the task if possible. Most modeling software that I'm familiar with has a scripting language for automating repetitive tasks.