Hi all,
After spending much time in trying to figure out how to do it with calibre, I switch to creating a "quick and dirty" Python program with Selenium that scrap the website of LeMonde. Please find it here if it can be useful to someone.
https://github.com/MartinHugg/LeMondeSelenium
With python I only found a way to create epub ebooks so calibre is used to convert to mobi before the file is sent to the kindle. If you want another format, feel free to change the code accordingly.
Cheers