I found an unregistered user that created (at least) four unregistered user accounts. He wasn't aware of that, so I asked him if he wants these accounts to be merged.
But is this possible for unregistered users?
No. The procedure is: user registers one, the other gets merged into it.
The source is an SE employee. Although the statement is somewhat dated, it makes sense: SE should not have to expend effort maintaining cookie-based accounts that will likely get lost or split again in the future.