Stanza Desktop does not currently support multi-file import. Once possible solution could be to simply append them all into one big HTML file and see how Stanza handles it. One way to do this would by the open Terminal.app, cd to the directory in which the HTML files reside, and do something like:

cat *.html > ~/Desktop/mybook.html

For the chapter sequence to be correct, the names of the HTML files would need to have the same alphanumerical ordering as the chapters.