I had a similar requirement about three years ago and i could not find a straight forward answer for this from anyone. I had to resort to creating a Powershell script to find the files and merge the files and then use that script in the AT task with the action "Execute Script" to achieve my goal. Having said that, maybe there is someone else out there who knows how to do this using purely Active transfer actions. Just my two cents.
Needless to say since that one experience, I have relied more on Powershell(Windows) and Shell(Linux\Unix) scripts to achieve complex tasks for MFT solutions using Active Transfer than using the inbuilt actions. Hope this helps!