Only the pricey Acrobat Pro can combine files, but here’s a way to make sure that documents travel together as one.
One thing you could do in Reader is attach the second file so that it always travels with the markup, though this does not make a single, continuously paginated PDF. On the Comments toolbar, just click the paperclip then select “attach file.”
Combine in Another Program First
Alternatively, the files could be combined in another program BEFORE marking up the PDF. This avoids markup loss and other snafus caused by opening a PDF in another program (such as Mac’s Preview) after markup has been made.