Open ZBrush and load the models you want to merge
Go to Tool > SubTool
Click Append to add another model as a new SubTool
Repeat Append for each model you want to combine
Use the SubTool list to position each model if needed
If you want them as one editable object, go to Tool > SubTool > Merge
Click Merge Down to combine the selected SubTool with the one below it
Repeat Merge Down until all SubTools are merged
If needed, use Tool > SubTool > Merge Visible to merge all visible SubTools at once
If you want a single unified mesh, use Dynamesh after merging
Save the merged model as a new ZTool or export it as needed