Sorry but I don't understand exactly what the request is for. An assembler is an assembler and compile one source at time, it's the linker job to put together the object modules.
Polink can accept as many object files as you want on his command line, and link them together. Try to compile each of your asm sources then list all of them on the polink command line, you will get one executable (with the name of the first object in the list unless you use the /Fo option to specify the executable name) composed of all the object you supplied linked together.
In C programming is the same, all the sources are compiled one by one and then linked together (there is no difference between an assembler and a C object file).
Or even more easy simply create a project. Then in the project define all the assembler and inc files you want (you can also use the IDE as editor).
Finally press build project button and you get the executable. This way can also enable debugging and debug respect assembler source.
For instructions on use of tools (polink, poasm, polib, porc, etc.) refer to the PellesC help file.
Last just for the sake of correctness: Poasm is specifically designed for assembly programming (what an assembler should be supposed to do?) and is very adherent to masm syntax
PellesC, despise some small just-assembler mini development environment, is a fully structured multilanguage (C and assembler compilers are included, but you can define external tools for compilation of different sources) coss-compilation and integrated development platform (if you want compare it to something consider it an equivalent of M$ VisualStudio). Maybe if you read carefully the help file you can get some interesting hints.