It can be done, but require command editing.
When you join DVD, you will end up with main menu and each DVD in its own VTS.
Find PGC for each title and change Post command "Exit" to Call VTS menu (Type3, Cell1) that will get you to Root menu of that VTS.
Root menu has Pre Command "Resume" you have to change that.
Now the fun start.
Each VTS has already a PGC in VMG domain to direct to each DVD's VTS, use trace to find which one it is and than change Resume to "Call VMG PGC #", where # is the PGC number in VMG which direct to next DVD's VTS title.
This you have to do for every one, till you get to last play.
This works for simple DVD, without menus. If DVD has its own menus, than it may get little more complicated.
In that case, since you care about video only, I would hide all menus for those DVD and go from there, or try to figure out the way. Principle is same.