It’s called a ligature, and ligation is a fairly complex feature that is not natively supported in FCP. This is not a lost cause, though. If you are sticking to Arabic, the Allah ligature actually has a Unicode code point (for compatibility), at U+FDF2, and I would assume that most word processing software will automatically replace (autocorrect?) the A+L+L+H with U+FDF2, much like they will replace f+i with the fi ligature. There are a LOT of Arabic ligatures in Unicode, but also a few Latin ones ff, fi, fl, ffi, ffl, ſt, and st (ff, fi, fl, ffi, ffl, ſt, and st). I am assuming that you are looking to apply this to other situations as well, and here it is a bit more complicated. What you need to do is add OpenType substitution features to your font. With OpenType, you do not have to map your ligatures to the Private Use Area and then try to figure out how to access those code points, you simply declare a ligature glyph as equivalent to some series of characters. There are a number of (free!) ways to do this, and a lot of people have written about it in this forum.
http://forum.high-logic.com:9080/t/adding-opentype-features/1904/15
is a fairly comprehensive explanation of hand coding OpenType features. You can also download Microsoft’s Visual Open Type Layout program (VOLT), which has an instructional video, and documentation. You can download VOLT at http://www.microsoft.com/typography/volt.mspx . This is not a project for the feint of heart, though.
Now, the last problem is that only a few high-end programs fully support the full range of OpenType glyph processing. Uniscribe (the Windows glyph processor) only supports a minimum of complex rendering, limiting the features that can be used with a given script. So while Arabic text has a whole slew of positioning and substitution features enabled, allowing adjacent characters to link together, change forms contextually, and position marks, Latin text is limited to the placement of diacritical marks. Devanagari has a complex set of half-forms and ligatures that aren’t accessible to Greek text - or Kharoșți. Check out those links, explore the Microsoft typography site, and see if that doesn’t get you off on the right track.
-Van