Can I pull tethered objects together like in Just Cause 3?
I literally tried every single button on my keyboard, but can't seem to do it.
No, the ability to pull two tethered objects together was a new feature in Just Cause 3 and is not present in Just Cause 2. From the Protec Grappler G3 wikia page's entry about Just Cause 3:
It's now possible to retract the cable between two objects that are grappled together.
This indicates that it was not possible prior to this.
The feature to pull an object via holding a button did not exist in Just Cause 2. Just Cause 3 added it.
You can however tether two objects together. This isn't quite the same, but its about as close as you can get to what you want to do.