The answer by Dimitre looks like the quickest solution in your case. But since you asked, here an XProc alternative:
<p:declare-step version="1.0" xmlns:p="http://www.w3.org/ns/xproc" xmlns:c="http://www.w3.org/ns/xproc-step" exclude-inline-prefixes="#all" name="main">
<!-- create context for p:variable with base-uri pointing to the location of this file -->
<p:input port="source"><p:inline><x/></p:inline></p:input>
<!-- any params passed in from outside get passed through to p:xslt automatically! -->
<p:input port="parameters" kind="parameter"/>
<!-- configuration options for steering input and output -->
<p:option name="input-dir" select="'./'"/>
<p:option name="input-filter" select="'^report_.*\.xml$'"/>
<p:option name="output-dir" select="'./'"/>
<!-- resolve any path to base uri of this file, to make sure they are absolute -->
<p:variable name="abs-input-dir" select="resolve-uri($input-dir, base-uri(/))"/>
<p:variable name="abs-output-dir" select="resolve-uri($output-dir, base-uri(/))"/>
<!-- first step: get list of all files in input-dir -->
<p:directory-list>
<p:with-option name="path" select="$abs-input-dir"/>
</p:directory-list>
<!-- iterate over each file to load it -->
<p:for-each>
<p:iteration-source select="//c:file[matches(@name, $input-filter)]"/>
<p:load>
<p:with-option name="href" select="resolve-uri(/c:file/@name, $abs-input-dir)"/>
</p:load>
</p:for-each>
<!-- wrap all files in a reports element to be able to hand it in to the xslt as a single input document -->
<p:wrap-sequence wrapper="reports"/>
<!-- apply the xslt (stylesheet is loaded below) -->
<p:xslt>
<p:input port="stylesheet">
<p:pipe step="style" port="result"/>
</p:input>
</p:xslt>
<!-- store the result in the output dir -->
<p:store>
<p:with-option name="href" select="resolve-uri('merged-reports.xml', $abs-output-dir)"/>
</p:store>
<!-- loading of the stylesheet.. -->
<p:load href="process-reports.xsl" name="style"/>
</p:declare-step>
Store the above as process-reports.xpl for instance. You can run it with XMLCalabash (http://xmlcalabash.com/download/). You can run it like this:
java -jar calabash.jar process-reports.xpl input-dir=./ output-dir=./
The above code assumes a process-reports.xsl that takes one documents that wraps all reports, and does a bit of processing on it. You could do processing in pure XProc as well, but you might prefer it this way.
You could also move the p:xslt step up to within the p:for-each (below the p:load), that would cause the xslt to be applied to each report individually.
Good luck!