Some authors like to split large stories into smaller, individual stories. However, Twine isn't able to combine these stories into one published file. Other people in the community have created tools to do this, though they require using a command-line interface.
These tools work with both Twine-created HTML files and plain text source code files, using a notation called Twee.
If you want to have multiple, separate story files that communicate with each other in some way--say, for an episodic game--then how you might do that is specific to the story format you are using, so check its documentation for details.