It should be possible, but it would take some work. You'd need to
1) Code the menu program.
2) Go through the games you want to combine and make sure that there are no filename conflicts (or, if there are, that the files are identical - this might happen with SGL sound drivers or DSP code for instance).
3) If there are filename conflicts, changing the filename will require you to hexedit the references in the game program.
4) If more than one of the games uses CDDA, the tracks will be wrong for all but one of them. It might be possible to track down the SGL/SBL calls (or in custom code, the CD block command register accesses) and edit those, but that would require a little more than a basic search and replace operation.
5) If the game depends on sector location or sequence of files in the filesystem, you'll need to have lots of fun straightening that out.
6) Remaster the ISO and insert the menu program as the first file (this can be done e.g. with mkisofs using a map file)
7) Pop it into your Saturn and watch it crash for some damn reason that I forgot to list here. <_<