The right application for this job comes from Adobe Company. Their top product regarding PDF files is called Adobe Acrobat XI which has the possibility to combine multiple PDF files and you can also create Bookmarks using the LINK tool and the Bookmarks tool found in the View > Navigation panel and Tools > Advanced Editing (Link tool). First you need to create a LINK on that specific page then use the Bookmark tool to link to the page where the next PDF is added.
