control.ps

[
  (Hudson-Nelson_*.pdf) { dup length string copy } 1000 string filenameforall
] % create array of filenames
{ lt } .sort % sort in increasing alphabetic order
/PN 1 def
{ /FN exch def
  /PN currentpagedevice /PageCount get 1 add def % get current page count done (next is one greater)
  FN run [ /Page PN /Title FN /OUT pdfmark % do the file and bookmark it by filename
} forall

merge.sh

#!/usr/bin/env bash

for i in Hudson-Nelson*; do; mv "$i" `echo "$i" | sed -e 's/Hudson-Nelson_\([0-9]*\).*\.pdf$/Hudson-Nelson_\1.pdf/i'`; done
gs -dBATCH -dNOPAUSE -sDEVICE=pdfwrite -o Hudson-Nelson.pdf control.ps