You can only create a new Activity from a single PDF, Google Slide, or Google Docs file. But if you've created a Slide View Activity, then you can add more Slides, choosing from different files. This is a good way to combine multiple PDFs into a single TeacherMade activity.

Can I Upload Multiple Files Into the Scrolling View?

Unfortunately, the Scrolling View does not currently offer a way to add content from multiple documents.