Yes, you can do this, though there is no specific 'join' function. You would just put the clips back to back on the timeline and then render the project out to the same format as the source clips. For DV files this would do a straight file copy and join the clips into your new one. For compressed formats such as MPEG and WMV, Vegas would recompress the video when it merges everything together.
There is a "Group" feature.
2 or more events on the timeline can be grouped together by selecting the first event, hold the Ctrl key and click on the next event etc...then hit the G key. Now these selected/grouped events can be moved together on the timeline as well as cut/copy/paste etc...
Page 161 of the PDF VV manual: Working with events / Grouping events.
Vegas is quite flexable in that you can mix not only multiple source files on the timeline but also combine different file formats like AVI and MPEG and render as a new 'joined' file.