First I'd ask why you care about the content directory and structure on disk? Most end users won't bother to look at this if you run an installer (like ClickOnce or any other) and place a shortcut in the Start Menu or on the desktop. Most users will just run the game and never know better. Heck, using ClickOnce it installs into a hidden directory, anyway, making it hard to even find the directory.
If you decide you really need to do this for some reason, you could probably make some sort of post-build tool that goes through your content directory and simply reads in all the bytes of the files, reassembling them all into a single large file. You'd want to either make a new file that gives the offsets for each file, or build that data into the header of your big file. As far as I know, nobody has made such a tool for XNA GS.