Updated: Sep 26, 2020
'Bridge' does exactly what it says – it creates a bridge between two objects. But to do this, both objects must first be recognised as two parts of the SAME object.
Create two cubes. You don’t need to make them editable, as that happens automatically during the next stage. Select them both by dragging across their names in the Object Manager, then right-click there and choose ‘connect objects and delete’. In the Object Manager, there is now a single name – but it applies to both the (apparently separate) objects in the viewport. They have become parts of the same object. And, they're now editable.
Select the facing sides of both cubes by selecting one and then shift-clicking on the other with the Polygon mode tool. Press ‘i’ to switch to the ‘inner extrude’ tool, then drag left.
Press backspace or delete to remove the selected polygons, then right-click and choose ‘bridge’, and switch to ‘edge’ mode. Click and drag the edge of one polygon across to the other – and make sure you hit the right target! Continue until the various edges are joined.
And that's it!