I think the issue here is just wrangling the datastore-s to read out a BatchSize x 2 cell array, where each cell in the first column contains only the numeric input data, and each cell in the 2nd column contains the response data (numeric or categorical).
This gets confusing because the combine method for datastores is wrapping data in an additional cell.
Here's an example to show how to make this work with dummy data:
% Setup fake data - I'll use a sequence length of 100 rather than 10,000.
x = randn(10,100);
save('x1','x');
y = randn(1,100);
save('y1','y');
x = randn(10,100);
save('x2','x');
y = randn(1,100);
save('y2','y');
% Create datastores to read in data.
% You want to just get the data out of the struct that is loaded. I found it easiest to write a simple function:
getVarFromStruct = @(strct,varName) strct.(varName);
xds = fileDatastore("x*","ReadFcn",@(fname) getVarFromStruct(load(fname),"x"),"FileExtensions",".mat");
yds = fileDatastore("y*","ReadFcn",@(fname) getVarFromStruct(load(fname),"y"),"FileExtensions",".mat");
% Combine
cds = combine(xds,yds);
% Note that cds.read now returns a 1x2 cell array, and each cell contains numeric data (not another cell!).
% Dummy network training
layers = [sequenceInputLayer(10);lstmLayer(1);regressionLayer];
opts = trainingOptions("adam","MaxEpochs",1);
net = trainNetwork(cds,layers,opts);
