This problem is related to the mergesort algorithm, in which two sorted sub-arrays are combined into a single sorted sub-array. The CLRS book gives an example of the algorithm and cleans up the need for checking if the end has been reached by adding a sentinel value (something that compares and "greater than any other value") to the end of each array.
I wrote this in Python, but it should translate nicely to Java too:
def func(a, b):
class sentinel(object):
def __lt__(*_):
return False
ax, bx, c = a[:] + [sentinel()], b[:] + [sentinel()], []
i, j = 0, 0
for k in range(len(a) + len(b)):
if ax[i] < bx[j]:
c.append(ax[i])
i += 1
else:
c.append(bx[j])
j += 1
return c