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I want to put several of them together to make a custom skybox. This is just a test, if it works, I can maybe use it.

To my knowledge, HDR imaging in games is accomplished by way of post-processing multiple renderings of a game scene each frame. Advanced shader techniques handle the process of turning the multiple renderings into a final HDR image which is then displayed on the screen. The "bloom" effect is a common example of such a technique.

In other words, you do not apply HDR images as textures to objects (or skyboxes in this case), rather you perform the high definition rending of an object/scene real time via shaders.

So, no, you cannot simply "put several [pre-rendered] images together" to get an HDR skybox in a game.

However, you can possibly write a shader that will input the necessary images to perform the high definition rendering each frame. And this may give the same result you desire.