You can try this solution :

Create a Wrapper.sql with a Transaction defined in it, and within that transaction use :r to call other scripts. Here is an example:

--Wrapper.sql

:On Error Exit

SET XACT_ABORT ON

GO

Begin Transaction

Use <DBNAme>

:r <Script1.sql>

:r <Script2.sql>

Use <DBNAme2>

:r <Script1.sql>

:r <Script2.sql>

If Xact_State()=1

Begin

Print 'Committing Tranaction...'

Commit tran

End

Else If Xact_State()=-1

Begin

Print 'Rolling Back Transaction...'

RollBack Tran

End

Then call this Wrapper.sql from SQLCMD.

I have used this approach, and it has worked for me.

Thanks,