Not at this time through the data retrieval tool. Also, there are ongoing issues with this tool, please see: https://biostar.usegalaxy.org/p/21066/#21709
It might be possible to copy the links from multiple datasets, save that in a text file, then paste those into the Upload tool. I have not tested that yet today. Will post back to the other post as another workaround if this works.
Thanks! Jen, Galaxy team