There is not a way to do this in a single document that I am aware of. However, your approach of using multiple PDFs and merging them is one that I have used successfully in the past. As far as page numbering, I also needed to have valid page numbering (2 of 12, 3 of 12, etc.), so I built page numbers myself - not sure if that is an option for you. In my case, I was able to determine the total number of pages the document would be and then added a page number entity with 2 attributes (page number and total pages) that I used on each individual document.
Maybe that would work in your case too.