You can copy all code into one GF code editor window and then print that as a PDF. Then you can keep the line numbers and the formatting. I don't think there is a way to print all of them in one automatically. Maybe because you couldn't specify the order of the classes when you do it automatically, but I don't know.
You could create a program to listt all .JAVA files in the directory and iterate through them to write their contents to a new file. You could even put buffers between the files and/or add headers for each file.