Red-Gate Multi Script, https://www.red-gate.com/products/dba/sql-multi-script/, works a charm

Or if you don't want to pay, your going to have to find some way to concatenate the scripts into 1 large script.  Done it in the past with command line and the COPY command

COPY C:\Scripts\*.sql C:\Scripts\BigScript.sql

Problem is ensuring they are all saved correctly as you can get some strange encoding happening some times which throws the big script off.