There's no mean to "link" PNRs nor merge PNRs.
You can however split a PNR (in fact, the system will automatically split in some cases) into multiple PNRs. In that case, those PNRs are virtually linked together. But most of airline systems have trouble dealing with such PNRs.

But it's always possible to insert RM/RX (remarks) to inform anyone reading the PNR that there's another PAX linked on another PNR. But system-wise, nothing will be recognize as linked.