I found the answer here:
https://stackoverflow.com/questions/54543064/create-view-in-polybase
Since they are all targeting the same table, you don't need to use this file-by-file method. Polybase will load a wildcard-like set of files. If you put all your data files of the same type in a folder and set the FOLDER as the location, all the files in the folder will be loaded in parallel. You will find your loads hugely faster … at the moment you're processing files in series, using the method I suggest will process them in parallel as fast as readers are available.
The only extra step I need to do here is to create a separate folder for each table.