No it is not possible.
As slideshow gets stored within the catalog.
However, you could choose the images that you want in each catalog and export those images as a new catalog (a new catalog for each set of images). Then, you could create a new catalog and import from all of those catalogs. Yes, it's a little awkward, but you could do it that way. Then you would be able to delete all of the extra catalogs once the importing is completed. Then you would use the new combined catalog to create your slide show.