This is not possible yet, sorry. You can try creating an empty master project and importing subcontractor projects one-by-one (Project > Import > GanttProject file). This is surely annoying if you have many such projects.
We plan to make it easier in the foreseeable future. There is an interesting idea of a relatively simple change which may make such tasks way easier:
Also, there are some initial cross-project features on GanttProject Cloud and automated generation of master projects is in the plans.