As the core components of wavelength multiplexed single-cavity dual-comb light source, fiber filters and mode-locking devices have attracted extensive attention of researchers. In order to solve the problems that the traditional filter is sensitive to polarization and the fabrication process is complex, a composite device based on micro-nano fiber is developed. The micro-nano device is fabricated by means of fused biconical taper, the filter effect is generated by the inter mode interference, and the photo-deposition is realized by the thermophoretic effect. The composite device is applied to a ring cavity, the multi-wavelength mode-locking at 1532,1543,1555 nm is achieved, and the wavelength shift is not higher than 0.2 nm at different polarization states. The composite device provides a new solution for the realization of single-cavity dual-comb and single-cavity tri-comb, which is of great significance for promoting the application of multi-comb technology in precision measurement and other fields.