I second Ed Vassie's question on the supposed JCL limitation.

I got the answer right, only because the category was SSIS and I figured that one of those two answers must be the one being driven for. However, SSIS is NEVER the most "efficient" solution. I'm sure there is a much more efficient solution using BCP or Bulk Insert (not with a cursor, that was an obvious bad answer), perhaps using CLR stored procedure, or perhaps concatenating the files before the BCP operation.