I had a similar issue where I began the score in the key of A but wanted to change it to the key of C to let the sharps show up as accidentals in the score. (Some of my bandmates find it easier to sight read that way) It didn't seem to want to let me do that. I kept choosing key of C on the picklist...

This may not be the best answer, but combining separate pdf files into a single document with pagination and other features seems to be easiest using a pdf authoring tool like Acrobat. I use Foxit Pro. You can create a document of multiple pdfs, arrange pages, etc. If' I was getting something ready ...