I almost forgot there is a List of Files feature for playing files on your hard or external drives. You could set the LOF list up so that the “offset” placed each subsequent file after the end of the previous one.
But it would be a fair amount of work to set up unless you wanted to play the list very often.
There is another partial solution using a Nyquist plug-in to import files end-to-end from a folder, but it requires WAV files and uses a lot of memory to import the files. See: https://forum.audacityteam.org/t/append-import/20421/1 and http://wiki.audacityteam.org/wiki/Download_Nyquist_Plug-ins#install .
Gale