I don't think so. You can merge two cells into one. Or a range of cells into one - so a column or columns into a single cell. But I don't see any way of merging, say, two adjacent columns into a single column of cells - other than the piecemeal way you've described. If you find a way, please let me know!
As a workaround (and as has already been suggested), you can
o Construct a formula to concatenate the contents of each pair of cells into a new column.
o Cut or copy the result and use Paste Special (no Formulae) to paste it back over one of the columns.
o Empty the other column?
But you still end up with a single column of populated cells, not a range of merged cells (if that matters).
I trust this helps.
Brian Barker