Get handles to all open figures:
figHandles = findall(0,'Type','figure');
On the first iteration of the loop you'll need to create the file. On all subsequent iterations of the loops, you'll append the file. Your code may look something like this (you can adapt it to your needs).
% Create filename
fn = tempname(); %in this example, we'll save to a temp directory.
% Save first figure
export_fig(fn, '-pdf', figHandles(1))
% Loop through figures 2:end
for i = 2:numel(figHandles)
export_fig(fn, '-pdf', figHandles(i), '-append')
end
If you want to open the document when you're done,
winopen(fn) %assuming fn is the full path the document
