To generate a report that consists of items in the Saved tests and graphs section of the Contents bar, you right-click on one of the headings. A context menu shows have many items are listed below that heading.
Click Open all and all reports and graphs below that heading will be compiled into one single report.
When you right-click on Saved tests and graphs then all saved reports and graphs can be included in one single report.
Note that a report created this way contains no interactive elements. For example, if you need to make changes to a graph you must open that specific item in a separate window.