Add ability to join multiple parts of single episode to one file

[Pitel]

Checklist

• I'm reporting a feature request
• I've verified that I'm running youtube-dl version 2019.11.05
• I've searched the bugtracker for similar feature requests including closed ones

Description

When downloading Sour Park episodes (and maybe other sources, I don't know), I end up with multiple files (acts). They are probably separated by an ad, when watching then using web player.

South_Park_November_06_2019_23_2306_South_Park_2306_-_Season_Finale_-_Act_1-7a5f87c3-8522-4d80-96ed-adad1a3f8234.mp4
South_Park_November_06_2019_23_2306_South_Park_2306_-_Season_Finale_-_Act_2-a27b64e3-780a-4a48-9bc5-70a94579349d.mp4
South_Park_November_06_2019_23_2306_South_Park_2306_-_Season_Finale_-_Act_3-039dc526-3bba-4def-80d4-8b81f5d20fcd.mp4

Sure, I can play them by mpv South_Park_November_06_2019_23_2306_South_Park_2306_-_Season_Finale_-_Act_*.mp4, but it would be nice if youtube-dl could merge them to a single file.

Note, that there also subtitles, and they will need to be retimed!