I don't think what you're looking for is possible at least the way you're explaining it. You can link and chain multiple sprites/objects together easily. They will move and work in tandem if you want them to, however they will still be registered as individual objects on the screen regardless if they are parented or not.
And as far as making 2 sprites into 1 is technically possible, it would be 1 image meaning, if the individual sprites had to do there own animation it would be much more difficult to animate any of the pieces if it was just 1 image. That is usually why things like player characters are made up of multiple linked objects like, arms, legs, and head to be individually worked with for later animation. However, if a character is made up of 6 objects (head,arms,torso,legs) just because the arms, legs, and head are parented to the torso doesn't inherently make it 1 object.