some mkv downloads come with sub/idx files, and it’s possible to mkvmerge them into the mkv file instead of having them separate. it would be nice to be able to merge them as part of the postprocessing.
You can use your download client to merge them by running a post processing script because at this time additional files are not moved, nor are Post Processing scripts available.
Both are already on Trello:
Is there actually a way to get Sonarr to not delete subtitles? It just found the Batman series on Bluray (yay!), but it wiped out dozens of proper bitmap subtitles (rage!), and the only way to get them back is to redownload over 100 episodes at 2+ gig each or get the poorly OCR’ed crap text subtitles from a sub site. Ugh 
No, sorry, not at the moment.