In Sculptris you can't really merge anything, but you can make it "as if"
If you have multiple object you can press CTRL+A to select them all, or click the symetry button, it will looks like they are parts of a single object, as you will not go from one to another if you click on the separated parts.
example : originally separated
I press CTRL+A , all separated object are joined (not merged)
I can then sculpt on them like if they were a single object :
Then if i need to re-separate them, i press CTRL+D (it deselect every objects)
I then click on one of the object to select it and resume sculpting only on it
Merging really 2 or more object into 1 single mesh needs a modelling tool , by example the powerfull and open source Blender can do that with Boolean Operations.
I used this by example for a sculpted hand and a sculpted body that i merged in Blender with the boolean operations (takes a lot of time the more faces there is) :
After boolean and smoothed things with Blender, as you can see the junctions has some ugly topology on it :
Then cleaned the "junction" topology with Sculptris local Reduce Brush that worked extremely well in polishing the ugly zones.