In Simutrans, whenever you build a station and none of the 8 bordering tiles has one of your stations, you create a new station. Otherwise, the newly buildt tile belongs to the station next to it.
If you build a bus stop directly next to a train station, they will be the same station. You do not need to merge anything.
If you want to have some space between them for whichever reason, you would have to trick the system by building a continous station and later deleting parts you don't want/need.
If you accidentially buildt two seperate stations, you cannot just merge them. However, if you hand over your station to the public player, and it is next to a public station, it will merge with that station. This is so players can expand public stops for interplayer transit, but it also means you can turn both of your stations public to merge them.
However, I don't know
why it's not possible to merge stations (other than that nobody wrote code) so perhaps it's just something someone could nicely request
