As far as I know, the only solution to "merge queries" is to refactor queries to query scopes:

class DeviceReport extends Model
{
    public function scopeHaveSetting($query)
    {
         return $query->whereNotNull('device_setting_id');
    }

    public function scopeHaveDeviceSetttingFor($query, $companyId)
    {
        return $query->whereHas('deviceSetting', function ($q) use ($companyId) {
            $q->where('company_id', $companyId);
        });
    }

    public function scopeHaveNoSetting($query)
    {
         return $query->whereNull('device_setting_id');
    }

    public function scopeHaveDeviceAssignmentFor($query, $companyId)
    {
        return $query->whereHas('deviceAssignment', function ($q) use ($companyId) {
            $q->where('company_id', $companyId);
        });
    }

    public function scopeQueryOne($query, $companyId = null)
    {
        return $query->where(function ($query) use ($companyId) {
            $query->haveSetting()
                ->when($company_id, function ($query) use ($companyId) {
                    return $query->haveDeviceSettingFor($companyId);
            });
        })
    }

    public function scopeQueryTwo($query, $companyId = null)
    {
        $query->where(function ($query) use ($companyId) {
                 $query->haveNoSetting()
                    ->when($company_id, function ($query) use ($companyId) {
                        return $query->haveDeviceAssignmentFor($companyId);
                     });
        });
    }
}

Then you can merge queries together like this:

return DeviceReport::where(function ($query) use ($company_id) {
    $query->haveSetting()
        ->when($company_id, function ($query) use ($company_id) {
            return $query->haveDeviceSettingFor($company_id);
        });
})->orWhere(function ($query) {
    $query->haveNoSetting()
        ->when($company_id, function ($query) use ($company_id) {
            return $query->haveDeviceAssignmentFor($company_id);
        });
})

I personally prefer the above query, it is apparently more readable to me. Still, you can merge two queries the way you want like this:

return DeviceReport::queryOne($company_id)->queryTwo($company_id);