A games/media diploma course can be very beneficial at a college. Concept artists are very common for the games and flim industry. I did a UAL level 3 in creative media and technology at college and im going university next year to do a degree in Concept art.
For A levels, I think English literature/language would be good because as a concept artist, you have to show the story in your drawings, especially for environmental. It may help with you ideas to expand with your art. Also doing Art as well as learning how to do traditional art (so drawing on paper e.c.t.) will be very good. With a games/media course, you may get to learn how to do 3D modelling on a software called 3Ds max or maya. Meaning that if you enjoy it, you can become a more 3d concept artist if you wanted too. If you are unsure, I would contact maybe a university that does a BA (hons) degree in concept such as Staffordshire uni for example. They may help you get on the right track on what to choose. Most unis have a enquiry email on their contacts section on their websites. A levels are very exam based and as a concept artist, exams aren't really that important in that field. Its mostly to do with your artwork and doing essays and presentations from time to time. It will help you to feel more confident going to university as you won't be doing exams up there, so doing a levels, may overwhelm you as university will be quite different. Hope this helps!