Probably using too much "bandwidth" or some other computer gobbledygook. Why yes, I am a neoLuddite. Not a clue about the PGNs.
How do I bulk download PGN of many games


...And how do I fuse two PGN together
PGN files are just text files with a .PGN file extension, so you can use any text editor. If you're really old school, you can use DOS commands to join them.
However, here's a super-slick little utility that does the job perfectly:
"TXTcollector - Free Text File Merging Tool"
http://bluefive.pair.com/txtcollector.htm
Just check the boxes for "No Separator" and "No Filename". I don't know how many files it can join before it chokes; You'll have to experiment.
We used to be able to do that, but no more. It's a page at a time now.