I would appreciate that feature too. We have a similar scenario. We let the user choose one or more records. In addition the user has the possibility to include the corresponding coversheet for each record.

Further we would like to merge different reports in order to render all selected records into one report (depending on the record, the report type may vary)

One example I have deals with PDFs.  I have a report which acts as a coversheet for a specific record in the database.  This report is related to architectural drawings that are saved in a PDF format.  So this particular report needs to show the rendered report plus have the associated PDF files inserted into the report.  They don't have to be PDF, images would work as well.  There is always a case where I have to insert a related image/pdf into a report.  We do not save files/images in the databse, but rather on the file system.