Since THD is calculated as root-sum-square of rms voltages of individual harmonics as a percentage of fundamental I wouldn't just add THDs of two devices. Most likely it would be again root-sum-square of two (or three) THDs.
Harmonic distortion inquiry
As much as I’ve searched and read on audio component distortion ratings, I’m unsuccessful finding one elusive answer. Does the THD of each individual component accumulate, or is the effect limited to the highest (noisiest) one component? Simple example question; if each device has .03% of THD for a phone pre-amp, pre-amp, and power amp, is the system distortion .09%?