I’m not a pandoc expert, but I think you can pretty easily concatenate markdown files and then convert via pandoc (or whatever).
FWIW (and nothing to do with Word, unfortunately), when I wrote a book-length (diss) a few years ago, and now when I’m working on a book, my goal is to have a separate latex file for each chapter. Then I can very easily combine them in 1 latex as subfiles, which I then compile.
All this is to say, I never had the need to have a single file, but I do recall that there is a concatenation command-line command somewhere that would do that sort of thing. But it would do it on the .md level and then you can convert it.