Yield Return Many?

No, there isn't, unless you completely replace every yield return with a single return statement using LINQ.

For example:

return someSet
    .Concat(someOtherSet.SelectMany(s => FindSingle(context, s));

This is a somewhat frequently requested feature that C# does not support. See this Connect item for details:

http://connect.microsoft.com/VisualStudio/feedback/details/256934/yield-return-to-also-yield-collections

The proposed syntax is usually something like:

public static IEnumerable<T> PreorderTraversal<T>(this BinaryTree<T> root)
{
    if (root == null) yield break;
    yield return root.Item;
    yield foreach root.Left.PreorderTraversal();
    yield foreach root.Right.PreorderTraversal();
}

If you are interested in playing with a C#-like language that supports this feature, take a look at Cω:

http://research.microsoft.com/en-us/um/cambridge/projects/comega/

You might also want to read this paper on the feature by the implementors of Cω:

http://research.microsoft.com/en-us/projects/specsharp/iterators.pdf

If you're interested in a non-C#-like language that supports this feature, take a look at the "yield!" feature of F#. (I just love that the name of the feature is "yield!")

Even if you are not interested in the theoretical stuff, it sounds like you face this situation as a practical problem. You should also read Wes Dyer's article on techniques for efficiently doing this sort of nested iteration without "yield foreach":

http://blogs.msdn.com/b/wesdyer/archive/2007/03/23/all-about-iterators.aspx

With C# 7.0, local functions are allowed, which enables us to have a fairly neat approach

IEnumerable<T> FlatEnumerable(){
    IEnumerable<IEnumerable<T>> NestedEnumerable(){
       yield return myEnumerable1;
       yield return myEnumerable2;
    }

    return NestedEnumerable().SelectMany(e => e);
}

https://docs.microsoft.com/en-us/dotnet/csharp/programming-guide/classes-and-structs/local-functions