No. In most cases, however, it's not really necessary to do so.
For example, if you want to compare two sets of annotations of the same data in order to study their differences, use bxb with the `-o' option to prepare a comparison annotation file, and then use WAVE to open that file. (See bxb(1), in the ECG Database Applications Guide, for details.) If your goal is to find discrepancies, this is by far the best way to do so; `bxb' produces a statistical summary of them, and you can search for NOTE annotations to find each disagreement (enter `"' in the `Search for' field of WAVE's Find window).
If you want to annotate multiple signals independently (for example, ECG and
respiration), choose `attached to signals' from the Show
annotations: 
menu in WAVE's View window. See
Multi-edit mode
for details.
If you already have multiple independent annotation files for a single record (whether these contain annotations for independent signals or annotations for disjoint segments of the record), you can use mrgann to merge them into a single file, preserving information about which file each annotation came from if you wish (see mrgann, in the ECG Database Applications Guide, for details).
dbcollate can also be used for this purpose if you have separate annotation files for each segment of a multi-segment record.