Merging two bones that are children of 'one' parent enter image description hereThere are two child bones - sleeve bone, hand bone.
And there is a parent bone - arm bone

And the sleeve bone and hand bone both are one down below from arm bone. which means they are direct child of arm bone.

I don't know how to merge these two bones into one, while automatically keeping the two bones' parent relationship to mesh into one bone that just has been made.

In internet search, they say press Alt+M or just merge, but it won't work as what it says, I'm guessing because these two bones I'm trying to merge together aren't a parent-child relationship. I should not delete any bone, since it will mess up the armarture's parenting mesh, and to re-parent mesh to changed armarture, it will take so many time.
If you want to delete, let say, bone1, and you want to keep, let say, bone2, with influence of bone1 being given to bone2, you can delete bone1, then go in the Properties panel > Object Data > Vertex Groups, select bone1 group, press Select, select bone2 group, press Assign, now the vertex group that was linked to bone1 is linked to bone2.