If you want to treat the objects as one, you don't merge them, you wrap them inside a container, i.e. put them inside a graphic symbol, that you can tween on the outside as one object, while on the inside you can have other animation.
In Flash terminology this is called nesting.
To convert your 3 layers to a symbol you can select the layers, right-click and choose 'layers to symbol' or you can create a new symbol and paste your layers or your frames inside.
Nesting and controlling nested timelines via stopping, looping or playing once of graphic symbols is fundamental to the effective use of Flash/Animate.
Nick - Character Designer and Animator, Flash user since 1998 | Member of the Flanimate Power Tools team - extensions for character animation