So, if you want to "merge" two albums in your phone but not in OneDrive, follow these instructions:
1. Go to store.
2. Download "Files", by Microsoft Corporation.
3. Open that app. You will see how much of data you have used etc.
4. Open "Phone" folder.
5. Go to "Pictures" folder.
6. Now select the album you want to move images from to another album.
7. Select all, or just the images you want to move. (Press the list icon and start selecting for particular images. Press three dots from right bottom corner to see "Select all" option if you want to select all images.)
8. Now that you have selected the images you want to move, click the three dots again, and press "Move to" icon. (It will go blank, no worries, nothing bad happened, just the selected images getting moved
)
9. Do not press the "Back" button to go back in folders, or it will cancel every selected image from being selected. Instead, click previous folder's name from the upper left corner to navigate the folders while moving items. Press the "Pictures" text in the upper left corner.
10. Select the folder you want to put the selected images.
11. When the preferred folder has been opened, press "move here", and they will be moved there. (This does not affect the images in OneDrive i suppose.)
I will tell same kind of instructions for Onedrive. You can also add albums from the "Files" app to your pictures by adding folders inside the "Pictures" folder and move wanted images there, this was just a tip.