I'm not sure what you're trying to achieve, but the tool CadToGeodatabase accepts multiple inputs and creates a single geodatabase. From there, you could choose to export the feature classes back to a DGN, thereby creating a single DGN file. It wouldn't be exactly the same as "merging" the dgn files since you'd lose some symbolic representations.
Hope this helps!
--Karen
Do anyone have a script for merging dgn files in sub-folders into a single DGN file for ArcGIS 10.0?
