I assume you are debatching inside your Receive Pipeline? If so you could set an “ID” on that batch of messages. Then, you could use a Convoy to process all of the same messages in one file. At this point, you can use Orchestration Instance Id, or any random ID (even the ID you set for the message, to be your unique ID.
I’ve done something like this in the past and setting the ID on the message inside the pipeline was the key.