Looking at tickets from Aberdeen to Pangbourne and logically it's Aberdeen to Kings Cross then tube to Paddington then onward train from Paddington. If I buy a 'super off peak return' then travel on the tube is included BUT if I were to buy an advance to Kings X and then a ticket from Paddington to Pangbourne in the one transaction, can I still transfer free of charge on the tube?
If not, is an Aberdeen to Paddington ticket available as an LNER advance (obs still getting in to Kings X)??
No, you will need a ticket to cover your use of the Underground. Ordinary cross-London tickets will usually include this, and this will be denoted by the Maltese cross symbol (✠) on the ticket. However tickets to London Terminals (or specific named stations) will not have a Maltese cross and will not be valid for a cross-London transfer.
It is, however, possible to buy Advance tickets to and from Zone U12* (strangely usually not Zone U1*) which is effectively an Advance to the relevant London Terminal, plus a single Underground or DLR journey within the relevant numbered Zone. This then also gives you clearer protection in the event of delays occurring on the leg towards London, resulting in you missing your booked service out of London.
Websites like TrainSplit will calculate all this for you, and will select the Zone U12* Advance on the side where it is cheapest to do so.