It's not possible (at least in common HTTP 1.1), because the HTTP protocol doesn't work this way. For every HTTP request there is one HTTP response - the two together are called a HTTP transaction.
CLIENT --> HTTP Request --> SERVER
CLIENT <-- HTTP Response <-- SERVER
CLIENT --> HTTP Request --> SERVER
CLIENT <-- HTTP Response <-- SERVER
As workaround you could implement some sort of zip file where you collect all the files and return it as single file download.
Another approach would be a client-side (browser) implementation in JavaScript where you get the files in some sort of loop.
Both alternatives are rather theoretical solutions.