If an ebook is a series of small html files (often 1 file per chapter) then one of them is usually a "top level" file acting as a "table of contents" or "index" which is made up of hyperlinks to the rest of the files.
Look at the names of the html files. Is one of them called something like toc.html or index.html or contents.html?
If so, then all you have to do is drag-drop this top-level file into Calibre. Calibre will find all the constituent html and image files and zip them up into a single zip file. This will save you having to do the manual merge task.
If I haven't explained this very well, then I'd be happy to have a look at the particular Project Gutenberg book if you could post the title and author.