I think this is what you are looking for:
Here’s a quick example I made. I started with two squares, each on their own layer with a mask to make them feathered circles.
1 Add new layer.
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2 Cursor over the first mask, Press Command + Left Click to highlight.
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3 Cursor over the second mask, Press Command + Shift + Left Click to add to the selection.
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4 Click on your new layer.Click on the add new mask button at the bottom of the Layers palette to add the mask to your new layer.
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5 Trash the masks on the original layers.
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6 Merge the original Layers.
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7 Drag the Merged mask down to the newly merged layer.
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Hope that helps.