All units participate in a single round of combat. The only exceptions to this rule are subs, which get to fire a shot before any other naval units if there are no opposing destroyers in the battle, and AA guns, which get to fire at any attacking planes before the battle even starts.
Covering offensive mortar fire allows the infantry divisions to be more effective than they are on their own, but they are still separate divisions and can operate on their own if one or the other is destroyed. Artillery units represent completely separate artillery divisions from the infantry divisions (if that helps convince your friends).
Again, the rules are greatly simplified to reflect the large scale that this game represents; it does not cover all the intricacies of individual battles. So try to explain to your friends that it is a simplified game and to try not to overthink it and just to work through the steps given in the rulebook one at a time and do exactly what the words in the rulebook say. Of course, you might want to put it a little more diplomatically or they might accuse you of being a condescending cheater instead of just a cheater. :wink: I’ve gotten that one in real life games. :-P