WP_Query equivalent of SQL UNION ALL

You can run 2 wp_query, get the ids and pass those as the post__in parameter to a 3rd wp_query. Not efficient but will do the job.

Or you can use a subquery and do it all with just one wp_query. Something like the following:

add_filter( 'posts_where', 'myprefix_posts_where', 10, 2 );

new WP_Query([
    'post_status' => 'publish',
    'post_type'   => array('page', 'my_taxonomy'),
    /* do not add taxonomy or parent parameters here */
]);

...
...
remove_filter( 'posts_where', 'myprefix_posts_where', 10, 2 );

function myprefix_posts_where( $where, $query ) {
    global $wpdb;
    $where .= " AND {$wpdb->posts}.ID IN (
        (
            SELECT ID
            FROM {$wpdb->posts} 
            WHERE post_type="my_taxonomy"
        )
        UNION ALL
        (
            SELECT ID
            FROM {$wpdb->posts} 
            WHERE post_type="page"
            AND post_parent = " . post_parent_id ."
        )
    )";
    return $where;
}

Maybe there is a better way to do this but I can’t think of any.