It looks like you want Zip from LINQ:
var names = firstName.Zip(lastName, (first, last) => first + " " + last) .ToList();
(Actually, this is not a union of two lists that combine them by elements, but in reality it is not the same thing.)
EDIT: If you are using .NET 3.5, you can enable the Zip method yourself - Eric Lippert's blog post sample code.
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