Question about combining midi clips

If you cannot select each clip on the same track here is what I would do:
1. make a new midi track above or below the current track
2. drag the clip you can select while holding SHIFT to the new midi track (SHIFT ensures it stays locked in time).
3. select both midi tracks and select bounce to track (either create a new midi track to bounce to or bounce to the original track).
4. delete any left over tracks you don't need.
 
 

Yeah lassoing the clips is the obvious solution. I had this exact same confusion some time ago and it never occurred to me that if I lassoed the top clip then the bottom one would be selected too.