If all you want to do is undo a split (well, i suppose you could use Undo) before you've moved anything around, delete the partial clip on one side of the split and then drag the other part out over where the split was.
If you've removed something from the middle and want to join the remaining parts into a single clip the only thing you can do is to render those parts to a new file, then replace them with the new file.
There really isn't any need to do this. Vegas is an editor, and as such you're going to end up with edits on your timeline. Leave them there. It shows you've been busy. ;)
As far as I remember (sorry I can't try it as my editing-PC died during the weekend) you can just make some free space after or before the place where you have spilt the media in the timeline - or better: move it to an empty track. Then grip the end or the beginning of it and pull it. This should reveal the parts of the media lying after or before the split. When you get the little triangle in the upper part of the media tou have pulled to the original end or the beginning of it.
This works because all splits and deletes are only pointers to the original media.