I'm afraid there isn't a direct way of doing this, as we generate a seperate page for each database object. However, the following may be of help...
Internet Explorer has an option in the print dialog to "Print All Linked Documents". If you generate documentation using the "HTML with frames" style (default), open the HTML file for the left-hand navigation frame ("tree.html"), and then print that, choosing to print all linked documents. This should print all the individual database object pages.
Unfortunately Internet Explorer chooses to do this by printing each page as a separate print job, rather than concatenating them all into one, which means this isn't very useful if you're trying to output to PDF, for example.
(Note: you may wish to try this having documented only a small number of database objects the first time, as it could result in a large number of pages being printed!)
Hope that help,