You could create a new class that inherits from sf::Drawable and then override the draw function so that it draws all the objects you need. Then, when you draw your new object, it draws everything at once.
Here's a basic example snippet:
class NewDrawable public sf::Drawable
{
public:
// ...
private:
virtual void draw(sf::RenderTarget& target, sf::RenderStates states) const;
sf::RectangleShape m_rectangle;
sf::CircleShape m_circle;
sf::Sprite m_sprite;
}
void NewDrawable::draw(sf::RenderTarget& target, sf::RenderStates states) const
{
target.draw(m_rectangle);
target.draw(m_circle);
target.draw(m_sprite);
}