So, AVX has a function from immintrin.h, which should allow to store the concatenation of two __m128i values into a single __m256i val
We had the same problem and used a macro to work around it.
#ifdef __GNUC__
#if __GNUC__ < 8
#define _mm256_set_m128i(xmm1, xmm2) _mm256_permute2f128_si256(_mm256_castsi128_si256(xmm1), _mm256_castsi128_si256(xmm2), 2)
#define _mm256_set_m128f(xmm1, xmm2) _mm256_permute2f128_ps(_mm256_castps128_ps256(xmm1), _mm256_castps128_ps256(xmm2), 2)
#endif
#endif
Not all compilers seem to have _mm256_setr_m128i, or even _mm256_set_m128i, defined in immintrin.h. So I usually just define macros as needed, bracketed with suitable #ifdefs which test for compiler and version:
#define _mm256_set_m128i(v0, v1) _mm256_insertf128_si256(_mm256_castsi128_si256(v1), (v0), 1)
#define _mm256_setr_m128i(v0, v1) _mm256_set_m128i((v1), (v0))
Intel ICC 11.1 and later has both _mm256_set_m128i and _mm256_setr_m128i.
MSVC 2012 and later has just _mm256_set_m128i.
gcc/clang don't seem to have either, although I haven't checked recent versions to see if this has been fixed yet.