<?xml version="1.0" encoding="UTF-8"?>
<Wix xmlns="http://schemas.microsoft.com/wix/2006/wi">
<Bundle Name="Bundle Name" Version="1.0.0.0" Manufacturer="Company Inc." UpgradeCode="YOUR_GUID_HERE">
<BootstrapperApplicationRef Id="WixStandardBootstrapperApplication.RtfLicense" />
<Chain>
<MsiPackage SourceFile="stage\msi1.msi" Vital="yes" Visible="yes"/>
<MsiPackage SourceFile="stage\msi2.msi" Vital="yes" Visible="yes"/>
<!-- etc... -->
<!-- msi which will not be compressed: -->
<MsiPackage DownloadUrl="{0}" SourceFile="stage\external.msi" Vital="yes" Visible="yes" Compressed="no"/>
</Chain>
</Bundle>
</Wix>
This results in a chain of msi1, msi2 files (included in .exe).
External.msi file is not included in the bundle, thus it is required to be placed next to the .exe file when running the bundle.