one way to do it could be to have a master report with 5 subreports each pulling a resultset. If you need to manipulate the resultset I don't know if that single report will allow for it though. Another possibility (that might be overkill) is to create a library in .NET that sets up those connection strings and pulls the results into a single resultset then returns the result to the report.

In either case, you might want to re-examine the workflow that makes this necessary. It might be legitimate, but it sure feels wrong...