On the following website you will find WhatsApp's help for the status. However, only one photo is mentioned there. I assume it also only works with a photo
When selecting the photo from the gallery, select the first photo for a long time, then the photo gets a green tick. Then select the other photos (a short tap is sufficient). The photos appear in the status in the order in which you select them. When all the photos have been selected, tap the green "button" with the white tick. You can then enter the caption for the first photo, by swiping sideways (or clicking on the small images directly above the caption) you can access the other photos to enter the caption. Then press the green send button. Good luck!