I've done this to a lesser degree.
In theory, you could download HTML files from a site (using something like SiteSucker).
However, depending on the site, there's usually LOTS going on - ads etc. And a lot (most?) sites these days aren't static HTML but rather generated with a CMS (like this site).
Anyway, if the HTML is vanilla enough, you could download the site. Then, I would create a new library* (especially if there's gazillions of pages) and import them into the blank library.Then convert them into epubs. Then, using the ePubMerge, merge them. Once you've got a Merged ebook, you can move it into your "normal" library (if you wish).
Having said all that, there is lots that can wrong. I would convert one HTML file and view it and check that it's actually readable.
To be honest, I post-process any HTML I import into Calibre: to remove menus, ads, images, formatting, styles etc etc. So, I try not to do it often.
That's how I'd do it - there may well be a scripted or easier way but my programming skills are waaaaay out of date.
Good luck!
* I create a new/temp library because I don't want to miss/overlook a file etc and it's a way of quarantining. I usually delete my temp library after this sort of thing. You mileage may vary.
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