You can create a Table of Contents for all of the documents without combining them. In the document in which you want the Table of Contents to appear, insert a Table of Contents (TOC) field, followed by Reference Document (RD) fields pointing to each of the other documents. For more details, see:
Alternatively, if you still want to combine all the documents and simply add the TOC field at the start, see: https://www.msofficeforums.com/word-vba/43339-combine-multiple-word-documents.html