If certain criteria are met, it is possible, namely: the selected vector layers need to be consecutive, have no layer styles, and use normal blending mode.
I checked it out and there seems to be a small bug related to this. The special vector layer merge is not performed if only one or all layers are selected. So, here is a workaround: if you want to merge all layers, just create a new empty layer on top and select all the other ones leaving the empty layer not selected, do the merge and delete that empty layer.