No, you can't merge PNR's. But if something goes wrong with your feeder flight (which it did in my case once in 2010) you need to change the first international segment of the RTW. For doing that the issuer usually needs to revalidate (and reprice) the whole ticket. I bought the above mentioned ticket in spring 2009 for 5700€++. At the time of flying (spring 2010) the same ticket would have been 8500€++ due to a price increase and different exchange rates.
With LH as ticket issuer it was possible to change the date of the first international segment without any cost involved. Not because of a grace exception but according to the rules which are different to the rules of other possible RTW ticket issuers at this time.