This is a little hard to answer without knowing the datasets...
Merge basically creates a new feature class and copies each feature from your input datasets into that new fc. So if your input fcs have points at the same locations, they will be inserted twice.
If that's the case, a join might be a better option.
Add Spatial Join creates a join based on location. If your points are overlapping / near each other, you can use that.
If your points (somehow) aren't related spatially but have a common attribute, you can use Add Join to join the datasets on that attribute.
The join only exists in the current map, the input datasets won't be affected. To permanently store the join, you can use Export Features.
Is there a tool or spatial analysis method I have to do in ArcGIS Pro where it would allow me to filter the data points by specified regions in my country of interest
If the points don't have a region attribute, you can get it by Intersecting or Spatial Joining the points with a polygon fc of your regions.
Have a great day!
Johannes
