Ben, I don't know if you really need this to be an assembly or not. so I have two suggestions.
One is that you edit one of the parts in context of the assembly and add a revolve feature to that part. This would not merge them together into one component though. So as an alternative I would rather saved that assembly as a part, and then add the revolve feature in that part to combine the two solids into one welded piece.
An assembly (*.sldasm) must include parts (*.sldprt) to be of any use here.
I have used virtual parts (within the assembly) before to solve this problem when you need to show welds or similar.