How to create a Mesh Collider with Unity Primitive ?

I have Tetris shapes made of cubes and I want to detect collisions with the entire shape (for some reasons I don't want to use the box collider of each cubes).

My shape is an empty GameObject parent of the cubes composing it. Is it possible to generate a MeshCollider with it?

While you can make a mesh collider from the cubes, mesh colliders don't interact with other mesh colliders, so it's not useful. (And you can't use convex mesh colliders for tetris shapes.) There's no good reason not to use a box collider for each cube. Another possibility is not to use physics at all, but do something like this instead.

Adding a mesh collider to each one of the cubes that conform the tetris shapes, and marking those mesh colliders as Convex should work.