This will be dependent on each seller and their shipping solution of choice!
In general, if the seller is providing additional shipping at extra cost, you are welcome to ask the shipping logistical provider if this is possible once the order is paid. Please note, you will still be required to pay for each order in total as the shipping logistical provider needs to receive the purchase order to begin the shipping process.
You can also check each site's "FAQ" under "Payment and Shipping" to see if there is a question regarding consolidation. Auction details under "shipping" may also provide this information.