Erik Darling continues a multi-state indexing spree:
Index union is a little bit different from index intersection. Rather than joining two indexes together, their result sets are concatenated together.
Just like you’d see if you wrote a query with union or union all. Crazy, huh?
As with index intersection, the optimizer has a choice between concatenation and merge join concatenation, and lookups back to the clustered index are possible.
These I see even less commonly than index intersections—so often, the optimizer decides simply to scan one index and the solution is to break the queries out into two with UNION ALL.