I don't think that Matlab can create multi-page pdfs for you, you'll have to do that yourself. pdfsam http://www.pdfsam.org is free and does just that.
If you want to do it only occasionally, then you can use the Matlab figure window to export to pdf, and the pdfsam GUI to merge them into a single pdf.
If you want to do it in an automated way from the commandline, then you can use Matlab's print command or one of the many much better functions from the FEX (e.g. http://www.mathworks.com/matlabcentral/fileexchange/23629-exportfig) and then pdfsam's console interface to merge them. You can call the console interface from the Matlab command line either by
As a third option, you could generate and compile a latex file from the Matlab command line, that's probably what I would do, but it depends on what you're comfortable with.
Btw, this is all assuming you're on Windows, if you're on a Mac, then preview.app can do the merging, you don't need pdfsam. For Linux, I'm sure, there is something similar.