As of now, Greenshot does not support combination of multiple images into one document (except adding an image onto a screenshot).
Windows 10 allows "printing" multiple images into a PDF file, though. For earlier Windows versions, you'll probably need 3rd party software like PDFtk. (I have not tried it, but from the website it seems it could do the job, plus it is free and open source. This superuser answer lists some more tools.)
If you're familiar with the windows command line, it should even be possible to use Greenshot's external command plugin to send screenshots directly to the PDFtk command line interface.
Disclosure: I am a member of the Greenshot development team.
Have you checked the Greenshot Help? You might find the section on "adding graphics to a screenshot" to be interesting...
– Jeff Zeitlin – 2018-03-16T18:51:45.950I did, it just adds any window or picture on top of the picture in hand. What I need is a .pdf-like file consisting of various screenshots. – nmd_07 – 2018-03-16T18:53:57.683
2Why not just paste your screenshots sequentially into Word, Publisher, or PowerPoint? Microsoft Office, since Office 2010 at least, has supported save-as-PDF. – Jeff Zeitlin – 2018-03-16T18:56:08.610
@JeffZeitlin I do not have it installed in my computer now. I will try that as the last option. – nmd_07 – 2018-03-16T18:59:07.040
1LibreOffice - probably most OpenForks - can also export as PDF. – Jeff Zeitlin – 2018-03-16T19:00:51.580
You don't have to install anything if you use Google's Office software since it runs in the browser. – SpiderPig – 2018-03-16T20:34:38.687