I don't believe there's any way to truly merge brushes together other than grouping. Your best bet is to use vertex edit to modify one of your brushes so that it has the shape of both of them together - just make sure you don't end up with a concave shape as a result.
I think you could merge brushes together by editing the .vmf in notepad - you'd just have to move the relevant face data from one brush into the other and delete the old brush - but that's a lot more work than your other options, and a lot more prone to failure. I'm curious to see if this would actually work, so I'll give it a shot and report back later.