Linking countries

How am I able to go faster in linking two countries together to make just one whole country? Similar to making all Russian lands that are broken up into one Russian country.

You can't do so. In order to create a whole Russia from the default map, you have to delete all of the territories and make the entire Russian border.

I know you can't do that, but is there any tips or anything for linking countries together faster?

Actually, it is possible. Copy the borders you want to link in a free 'workspace' (Copy them one by one and then move/adjust them as you like), then select all, copy and paste. If done correctly, the borders will be all joint together as one country.