Not really. This is because the way vector artwork programs work, everything is an object and these objects have fill and stroke attributes. If you merged all objects into one single object, the vector artwork program doesn't have a way of turning all the fills and strokes of the individual objects into a "combined" fill or stroke attribute for the final merged object.
That being said, many vector art programs have a way of "grouping" objects so that they can be moved or manipulated as one item. For instance Adobe Illustrator supports layers (more for Z-index manipulation and file organization), groups (where many objects can be grouped and manipulated together - the most useful in regards to your question), and Symbols (which creates an object that if you change the source symbol and all symbols made from that symbol will get updated with the changes).
So in regards to Illustrator's group ability, while the individual objects inside the group maintain their own separate appearance (their own strokes and fills), you can apply additional effects (like additional strokes and fills) on top of them by applying these strokes and fills to the "grouped" object.
Edit: See Scott's answer for other ways to create a single vector art object. There are drawbacks though and it can make future editing more difficult (as Scott notes).