Iain Dale reports that the reason Gordon Brown didn't merge the Wales, Scotland and Northern Ireland jobs was because he would need to legislate to do so.
A similar problem befell Tony Blair when he tried to abolish the Welsh post some years ago. Only after the Wales Office was placed into what was then the new Department for Constitutional Affairs did No 10 discover numerous statutory references to the Secretary of State for Wales.
(In a legendary cock-up of a reshuffle, the Wales Office itself had briefed that its boss was to be known as the Minister for Wales. The Scotland Office had removed its own nameplate).
I'm not lawyer but I'm not sure the problem is insurmountable. You could use the short-hand description Secretary of State for the Union or Nations Secretary while appointing one person Secretary of State for Wales, Scotland and Northern Ireland.
Politics is full of unofficial titles - Deputy Prime Minister, anyone - that creep into use, or indeed official titles that are seldom used - First Lord of the Treasury, First Secretary of State.
Perhaps the real reason the merger didn't happen was to do with unfinished business in Northern Ireland and the political damage (to Labour) caused by having a part-time Scottish Secretary.
As things stand, we shall probably have to endure months more of speculation along similar lines in the run-up to the next reshuffle.