The card says "Combat Action: Exhaust a hero you control without a Tentacle attachment to discard Wrapped!"

In a solo game I have a hero wrapped but no enemy engages me, can I do a "combat action" to save my hero, even if actually there is no combat envolved?

In other words, do the "Combat Phase" happens every time or do we skip it if we have no enemy engaged?

Every phase happens in every round. So yes, you can take Combat Actions in a round where there will be no combat taking place.

If you play with Boromor and Frodo you can always exhaust Boromir to steal Frodo's ring when you're not engaged with enemies. It's a forced action that can be found hidden on the back of Boromir's card.

leptokurt said:

If you play with Boromor and Frodo you can always exhaust Boromir to steal Frodo's ring when you're not engaged with enemies. It's a forced action that can be found hidden on the back of Boromir's card.

Really? Where did you found such information? I can't find it.

Unfortunately, that's likely to cause several Nazgul and/or Uruks to engage you. It'll piss off Denethor something fierce too.