Sounds are vibrations in air, which can be thought of as waves of varying pressure. Air can only be one pressure at a given time and place, which means that multiple sound frequencies merge together through something called "interference". There can be destructive interference where a peak of a wave encounters the trough of another and cancel each other out to some extent, or constructive interference where two peaks or two troughs encounter each other and combine to form a higher peak or deeper trough.

Multiple sound frequencies then all combine to form one complex sound wave which a speaker can then produce.