If the files are not too long and your computer has plenty of free RAM, you could use this “Append Import” plug-in: https://forum.audacityteam.org/t/append-import/20421/1
If that is not suitable for your needs, then the best we can do is to cut down the process to a sequence of keyboard shortcuts (ask for details if this is what you need) - unfortunately we don’t yet have a built-in “Append Import” or “Concatenate” feature.