Yeah, I looked around on the unity forums and it doesn't seem like you can make a compound trigger. Weird, not sure why that is the case. Ran a quick test and it didn't seem to work.
Compound colliders are fine, a rigidbody can collide with a group of colliders on different gameobjects but it doesn't look like triggers can be setup that way. Triggers only seem to consider that particular gameobject, and arent automatically compounded from the child objects like regular colliders are.