Yes, Union and Combine both make it into one object. Depending on what's being unioned, it might either make a single path, or 2 or more subpaths in a compound path. Combine always makes compound path made of subpaths and never creates a single path. But either way, it's now one object which can only have one style (style includes fill color).
You're probably looking for Object menu > Group (or there's a button on the command bar
or there's a key shortcut).