Merge PDFs? Not really. Sure you can drag multiple document together but you can't save them off into one document. Seems like a dumb feature without the save capability. Please Apple... think about usability... and close this feature out by making it savable!

I chatted with apple support and they didn't even know you could drag multiple documents into one preview window.

You can save them all into one PDF document. I had the same issue, and then relised I was doing this slightly wrong, you need to drag and drop the additional PDF files 'onto' the first PDF document (a little plus symbol should appear). If you have done this right then the first PDF file (in the sidebar) should now look look like a binded document.

You need to do this to 'Merge' the PDFs into one PDF file, otherwise you are just looking at multiple PDF files in the one Preview window.

You could also select all the PDF files (CMD + click) and right click to select open in Preview. Then sort the order of the PDF's as you require via the sidebar. Then Select all the PDF's in the sidebar except the first one, and when all are selected drag and drop the selection onto the first pdf - this should do the trick. Now Print > Save as PDF.