You can probably do something like this if you really want to avoid disconnecting and reconnecting:
db = Sequel.connect(:adapter => 'mysql', :user => user, :host => server, :database => database, :password => passwd, :encoding => 'utf8', :single_threaded=>true)
databases = %w'db1 db2 db3'
databases.each do |db_name|
db << "USE #{db_name}"
...
end
I'm not sure I'd recommend it unless the disconnecting and reconnecting was very slow (high latency between database and application?).