Hi dnnyobi,
Refer below code.
C#
public partial class Form1 : Form
{
    public Form1()
    {
        InitializeComponent();
    }
    private void btnMerge_Click(object sender, EventArgs e)
    {
        string[] allRTFDocument = System.IO.Directory.GetFiles(AppDomain.CurrentDomain.BaseDirectory.Replace("bin\\Debug\\", "") + "Files", "*.rtf");
        string[] characters = new string[] { "A", "B", "CH", "D", "E", "Ẹ", "F", "G", "GB", "GH", "GW", "H",
                                "I", "Ị", "J", "K", "KP", "KW", "L", "M", "N", "NW", "NY", "Ṇ",
                                "O", "Ọ", "P", "S", "Ṣ", "T", "U", "Ụ", "V", "W", "Y", "Z", "Ẓ" };
        List<string> files = new List<string>();
        foreach (string character in characters)
        {
            string chars = character.ToLower();
            string[] matchFiles = Array.FindAll(allRTFDocument, c => System.IO.Path.GetFileName(c).ToLower().StartsWith(chars));
            for (int i = 0; i < matchFiles.Length; i++)
            {
                files.Add(matchFiles[i]);
            }
        }
        Merge(files.ToArray(), AppDomain.CurrentDomain.BaseDirectory.Replace("bin\\Debug\\", "") + "Folder" + @"\Final.rtf", true);
    }
    public static void Merge(string[] filesToMerge, string outputFilename, bool insertPageBreaks)
    {
        object missing = System.Type.Missing;
        object pageBreak = Microsoft.Office.Interop.Word.WdBreakType.wdSectionBreakNextPage;
        object outputFile = outputFilename;
        Microsoft.Office.Interop.Word._Application wordApplication = new Microsoft.Office.Interop.Word.Application();
        try
        {
            Microsoft.Office.Interop.Word.Document wordDocument = wordApplication.Documents
                                                                    .Add(ref missing, ref missing, ref missing, ref missing);
            Microsoft.Office.Interop.Word.Selection selection = wordApplication.Selection;
            int documentCount = filesToMerge.Length;
            int breakStop = 0;
            foreach (string file in filesToMerge)
            {
                selection.TypeText("________________");
                selection.TypeParagraph();
                selection.TypeText(System.IO.Path.GetFileName(file).Substring(0, 1).ToUpper()
                    + "-" + System.IO.Path.GetFileName(file).Substring(0, 1).ToLower());
                selection.TypeParagraph();
                selection.TypeText("________________");
                selection.TypeParagraph();
                breakStop++;
                selection.InsertFile(file, ref missing, ref missing, ref missing, ref missing);
                selection.TypeParagraph();
                if (insertPageBreaks && breakStop != documentCount)
                {
                    selection.InsertBreak(ref pageBreak);
                }
            }
            wordDocument.SaveAs(ref outputFile, ref missing, ref missing, ref missing, ref missing,
                ref missing, ref missing, ref missing, ref missing, ref missing, ref missing, ref missing,
                ref missing, ref missing, ref missing, ref missing);
            wordDocument = null;
        }
        catch (Exception ex)
        {
            throw ex;
        }
        finally
        {
            wordApplication.Quit(ref missing, ref missing, ref missing);
        }
    }
}
VB.Net
Public Class Form1
    Private Sub btnMerge_Click(sender As System.Object, e As System.EventArgs) Handles btnMerge.Click
        Dim allRTFDocument As String() = System.IO.Directory.GetFiles(AppDomain.CurrentDomain.BaseDirectory.Replace("bin\Debug\", "") & "Files", "*.rtf")
        Dim characters As String() = New String() {"A", "B", "CH", "D", "E", "Ẹ", "F", "G", "GB", "GH", "GW", "H",
                                                   "I", "Ị", "J", "K", "KP", "KW", "L", "M", "N", "NW", "NY", "Ṇ",
                                                   "O", "Ọ", "P", "S", "Ṣ", "T", "U", "Ụ", "V", "W", "Y", "Z", "Ẓ"}
        Dim files As List(Of String) = New List(Of String)()
        For Each character As String In characters
            Dim chars As String = character.ToLower()
            Dim matchFiles As String() = Array.FindAll(allRTFDocument, Function(c) System.IO.Path.GetFileName(c).ToLower().StartsWith(chars))
            For i As Integer = 0 To matchFiles.Length - 1
                files.Add(matchFiles(i))
            Next
        Next
        Merge(files.ToArray(), AppDomain.CurrentDomain.BaseDirectory.Replace("bin\Debug\", "") & "Folder" & "\Final.rtf", True)
    End Sub
    Public Shared Sub Merge(ByVal filesToMerge As String(), ByVal outputFilename As String, ByVal insertPageBreaks As Boolean)
        Dim missing As Object = System.Type.Missing
        Dim pageBreak As Object = Microsoft.Office.Interop.Word.WdBreakType.wdSectionBreakNextPage
        Dim outputFile As Object = outputFilename
        Dim wordApplication As Microsoft.Office.Interop.Word._Application = New Microsoft.Office.Interop.Word.Application()
        Try
            Dim wordDocument As Microsoft.Office.Interop.Word.Document = wordApplication.Documents.Add(missing, missing, missing, missing)
            Dim selection As Microsoft.Office.Interop.Word.Selection = wordApplication.Selection
            Dim documentCount As Integer = filesToMerge.Length
            Dim breakStop As Integer = 0
            For Each file As String In filesToMerge
                selection.TypeText("________________")
                selection.TypeParagraph()
                selection.TypeText(System.IO.Path.GetFileName(file).Substring(0, 1).ToUpper() _
                    + "-" + System.IO.Path.GetFileName(file).Substring(0, 1).ToLower())
                selection.TypeParagraph()
                selection.TypeText("________________")
                selection.TypeParagraph()
                breakStop += 1
                selection.InsertFile(file, missing, missing, missing, missing)
                selection.TypeParagraph();
                If insertPageBreaks AndAlso breakStop <> documentCount Then
                    selection.InsertBreak(pageBreak)
                End If
            Next
            wordDocument.SaveAs(outputFile, missing, missing, missing, missing, missing, missing,
                                 missing, missing, missing, missing, missing, missing, missing, missing, missing)
            wordDocument = Nothing
        Catch ex As Exception
            Throw ex
        Finally
            wordApplication.Quit(missing, missing, missing)
        End Try
    End Sub
End Class