Yeah, there should be (keyword) one comment.xml file for every post with one or more comments, so if every post had one or more comment then there should be 1440'ish comment files.
Is your blog public with a public feed? Can you give me it's URL?
As for merging them, that would be tough. With code, I'm sure it could be done with code, but with a stand-alone utility, none come to mind.
Even Google's Blogger Export keeps the comments separate (it puts them at the end of the Export in their own <entry> entries). So they are not inline with their original comment, but separate entries that are "linked" to their original posts with the
To see this, create a simple test blog, put a few posts and comments on it and then use the Blogger export feature (which I've had timeout/issues with too BTW).
On a related note, doesn't WordPress have a Blogger import feature?