No, not in a single query. Whenever you connect to a database, you have a single connection to a single server. Once you're connected, you have to select the database you wish to work with. All tables within that database are available for you to query.
If you want to query a different database on the same server, you have to create a new connection to that database. Same thing goes for a different server, definitely.
In PHP, for example, you have to mysql_connect() to a server and mysql_select_db() to use a specific database before any queries can be made.
When using the mysql commandline client, you have to specify the host on the commandline to connect to a server, and then you have to select the database you want to use.
The only thing I can suggest is to write a simple program to create a new database with new tables to hold the relevant data you want from the other databases. A bit out of the way, I know, but I don't know of another method.
Take care,
Nik
http://www.bigaction.org/