It sounds to me as though your trouble is caused by lack of file-name in the href. If you don't mind klunkyness, this is what I have done when faced with this same kind of situation:
1--Insert a split marker at the top of every file except the very first one(patience, you will see why)
2--Merge all your files into one. Rename it if you like.
3--Using Search and Replace, go through and redo all the href's to include the full path as follows:
<a href="#pg
to
<a href="../Text/Merged.xhtml#pg
Of course, you would use the ACTUAL filename and extension. If you have other prefixes for some id's, you need to follow the same procedure for those.
4--In BookView, test at least some of the links to see if they still work. Tweak if needed. When all is ok,
5--Go to Edit>Split At Markers. Re-name the new splits if desired.
Your href's should update to show the new file name where the target id resides.
To prevent this from happening in future, ALWAYS use the full path in the href string : ="../Text/filename.extension#idname. Then your links should survive no matter how many times you split, merge, and/or re-name the files.
Hope this helps. Good luck!