Some shipping labels can be printed directly on an invoice. This can be set up in Settings > Template Designer > Invoice template. In the invoice template editor you need to drag and drop the 'Shipping Label' element onto the invoice.

Integrated shipping labels are fixed to the standard 6 x 4 size, and this size cannot be altered, however you can choose to print the label in landscape or portrait mode on the invoice. Once this is set up, you can print the invoices in the standard way by right-clicking the open order > Print > Print Invoice.

For more information please refer to the following documentation article.

Shipping - Adding SKUs and other details to the Shipping Label