You can indeed concatenate tokens in the preprocessor, but be careful because it's tricky. The key is the ## operator. If you were to throw this at the top of your code:
#define myexample(x,y,z) int example_##x##_##y##_##z## = x##y##z
then basically, what this does, is that during preprocessing, it will take any call to that macro, such as the following:
myexample(1,2,3);
and it will literally turn into
int example_1_2_3 = 123;
This allows you a ton of flexibility while coding if you use it correctly, but it doesn't exactly apply how you are trying to use it. With a little massaging, you could get it to work though.
One possible solution for your example might be:
#define H "Hello "
#define W "World!"
#define concat_and_print(a, b) cout << a << b << endl
and then do something like
concat_and_print(H,W);