The only way I have found to do a sort of merge is select the session with most consists as the master: -
Save a copy under a different name.
Using the new master session add all the consists of the second session where they need to be in the master.
Close the master and open the second session for edit and select "edit session".
From the list of commands and rules select all those required for the function of the consists you have added to the master and copy.
Close the second session without saving, open the master session for editing.
Select "edit session" and paste the additional commands at the end of the existing list.
Now you can move the new additions up and down the complete list to your liking.
Check for any conflicting switch positions (that can be done in a session test).
Save the master session.
When I have done this, it works but sometimes it may be necessary to alter the timing of some movements to prevent conflicts on a common track.