Picking one archetype grants that one archetype's features; picking more than one compatible archetype grants all archetypes' features

Archetypes are picked when a character first takes a level in the class and persist throughout the character's career, forever altering that class for that character (barring, for example, retraining).

When a character picks an archetype, he gains that archetype's special abilities whenever he gains a level in that class. If the character picked for a class more than one compatible archetype (i.e. the two or more picked archetypes lack features that each replaces), he gains the special abilities of all picked archetypes for that class.

The section Archetypes on Alternate Class Feature says that

When an archetype includes multiple alternate class features, a character must take them all—often blocking the character from ever gaining certain standard class features, but replacing them with other options. All other class features of the base class that aren't mentioned among the alternate class features remain unchanged and are acquired normally when the character reaches the appropriate level, unless noted otherwise. A character who takes an alternate class feature does not count as having the class feature that was replaced for the purposes of meeting any requirements or prerequisites.

A character can take more than one archetype and garner additional alternate class features, but none of the alternate class features can replace or alter the same class feature from the base class as another alternate class feature. For example, a fighter could not be both an armor master and a brawler, since both archetypes replace the weapon training 1 class feature with something different.

Emphasis mine. When combining archetypes, there's no other option but to use these rules. There's no way to take, for example, levels in skulking slayer rogue then levels in scout rogue; instead, a creature takes levels in scout skulking slayer rogue, getting each archetype's benefits and drawbacks.

This situation in particular

Hence, on becoming a level 4 rogue, a half-orc rogue who had picked the archetypes scout and skulking slayer would have the following from the skulking slayer archetype:

• The altered class skills and adjustment to skill ranks.
• The altered weapon and armor proficiency.
• The special ability pass for human.
• The special ability underhanded maneuvers.
• The special ability bonus feats, allowing the selection of the Surprise Follow-Through feat in place of a rogue talent.
• The special ability bold strike.

And would also have the following from the scout archetype:

• The special ability scout’s charge.

At each level of rogue such a character doesn't pick which archetype applies; instead, each archetype applies automatically.

Short answer, you're locked in.

You can only choose one archetype per class, and there are no current rules that allow you to pick-and-choose features from different archetypes.

If you want to diversify your character's build, you can look into multiclassing. This lets your character pick up levels and features from different classes.

Note: You cannot multiclass into the same class to get additional archetypes (relevant Sage Advice).

I would recommend taking a read of this article: Modifying Classes. Whilst it doesn't discuss exactly what you're after, it might help. Specifically, the part on Creating New Class Options.

One way to get what I think you're after is to create a new Roguish archetype. It's a bit of a cop out, but with your DMs blessing it would definitely work. You'd have to come up with a very strong reason why your class would be meshing two existing archetypes (Thief & Assassin) though; and from a balance perspective you could come across certain situations where your character has too many tools at its disposal compared to other PCs which stuck to a single class option. Once again, discuss with your DM.

Back to the article, the key takeaway is this:

Take a look at the class’s existing options and see what they provide, and then use those as examples or building blocks for the features that your class option will provide. It’s perfectly fine for two class options in the same class to share some mechanics, and it’s also appropriate to examine other classes for mechanics you can draw upon for inspiration.

If you get an okay from the DM to create your Thiefsassin, you could utilise the Thief features for 3rd and 9th level, and the Assassin features at 13th and 19th level.