If you are using the coverage.collector nuget, it will generate separate test result file for each project.
You can then use reportgenerator tool to merge multiple results into one.
Here is how we are doing it in our CI:
dotnet test <solution-file> --collect:"XPlat Code Coverage"
dotnet tool install --global dotnet-reportgenerator-globaltool --version <version-number>
reportgenerator -reports:<base-directory>/**/coverage.cobertura.xml -targetdir:<output-directory>/CoverageReport -reporttypes:Cobertura
This will generate a combined report for all your test projects.