The following sample demonstrates the use of UNION ALL. Index usage is usually better with UNION ALL:

use Northwind
go
select CompanyName, ContactName, ContactTitle, Phone from Customers
where Country='Canada'
union all
select CompanyName, ContactName, ContactTitle, Phone from Customers
where Region='Quebec'
union all
select CompanyName, ContactName, ContactTitle, Phone from Customers
where City='Montreal'