Hi,
The solution to this problem can be successfully sorted by using a third party software tool, as there is hardly any manual trick which works in this case.
I found a useful utility that goes by the name of SysTools NSF Merge, which can easily combine multiple NSF Archive Database files to a single file.
I suggest you to first try its demo version and then decide whether it fulfills your needs or not.
Check the below link to know more.
http://www.systoolsgroup.com/nsf-merge/