How to Combine multiple files with an extension .tar.gz.*

Question

I have a dataset with files that have extensions ranging from *.tar.gz.aa to *.tar.gz.bi, and I need to combine them into a single *.tar.gz file to extract the content.

Since I work on Windows, I used the following command:

cat tvqa_video_frames_fps3_hq.tar.gz.* | tar xz -C path/of/compreced/data

However, this process takes a long time and eventually results in a memory error. Is there another method or command that can help me combine these files more efficiently?