How can I merge multiple contact lists?

Not easily. There is an app called Groups in the App Store that is designed to do this, other wise you need to do it one contact at a time.

If I understand correctly what you wish to do, go to the Lists window, create or tap on the list you wish to merge the contacts into, tap the "+" button at the top of the list window, click the "radio button" next to each contact you wish to move, then click "Done". That should do it.

Regards.