"Combi" mode only allows multiple patches to be played from the Triton keyboard or an external midi source (another keyboard, sequencer, etc...). It does not allow recording or playing of sequences from within the Triton.
The programs and parameters of a Combi can, however be loaded into a Sequence. From within "Sequencer" mode, press UTILITY, and choose "Copy from COMBI". Select the Combi you'd like to copy. The selected Sequence will then contain the programs and parameters of the desired Combi.