How can I merge columns in UI grid in Magento 2

You need to renderer field in UI grid.

Add <Vendor>\<Module>\Ui\Component\Listing\Column\Firstname class in field like this

<column name="firstname" class="Vendor\Module\Ui\Component\Listing\Column\Firstname">
    <argument name="data" xsi:type="array">
        <item name="config" xsi:type="array">
            <item name="filter" xsi:type="string">text</item>
            <item name="label" translate="true" xsi:type="string">Name</item>
        </item>
    </argument>
</column>

Now create Firstname.php at

<Vendor>\<Module>\Ui\Component\Listing\Column\Firstname.php

<?php

namespace Vendor\Module\Ui\Component\Listing\Column;

use Magento\Framework\View\Element\UiComponentFactory;
use Magento\Framework\View\Element\UiComponent\ContextInterface;
use Magento\Ui\Component\Listing\Columns\Column;

class Firstname extends Column
{
    public function prepareDataSource(array $dataSource)
    {   
        if(isset($dataSource['data']['items'])) {
            foreach($dataSource['data']['items'] as &$items) {
                $firstname = $items['firstname'];
                $lastname = $items['lastname'];

                $items['firstname'] = $firstname." ".$lastname;           
            }
        }

        return $dataSource;
    }
}