There are a couple of ways I can think to do it.
http://www.grabmybooks.com/ is a site with a Firefox plugin for grabbing pages as epubs. You can build an epub out of several pages, but I don't know if you can get it to follow links like you would need them. There is another site similar, but I can't think of it at the moment.
Tools like wget and HTTrack can download all pages and images for a site or a section of a site. This could then added to calibre and then converted to an epub. Because of the structure of the site, I think this would work well.
It might also be possible to write a recipe for the calibre news download. I'm not sure on this as I haven't played with it enough.