No and yes, but mostly no.
You can't send multiple files in a single response and have the browser break them apart. Having said that, you can include images within your CSS file using base64 encoding, and of course you can include CSS and JS inside your HTML file. So theoretically you could send everything (HTML/CSS/Images/JS) inside a single gzipped response for a requested HTML file.
This is probably not ideal because this would prevent the browser from caching the images, stylessheets, and javascript individually and you would need to serve them with every request. Unless your need to seriously optimize delivery of a single page doing this is probably not the best way to go.