It appears that jar:jar does not handle multiple jar files. But running
mvn compile package
does the trick.
-rw-r--r-- 1 steve staff 2629074 Oct 16 15:24 UDFPafDqm.jar
-rw-r--r-- 1 steve staff 13286 Oct 16 15:24 UDFPafDqm-UDFTwo.jar
-rw-r--r-- 1 steve staff 40315 Oct 16 15:24 UDFPafDqm-UDFOne.jar
-rw-r--r-- 1 steve staff 6942 Oct 16 15:24 UDFPafDqm-UDFCommon.jar
An assembly.xml is required for this: a barebones one is shown below.
<assembly>
<id>job</id>
<formats>
<format>jar</format>
</formats>
<includeBaseDirectory>false</includeBaseDirectory>
<fileSets>
<fileSet>
<directory>${project.build.outputDirectory}</directory>
<outputDirectory>/</outputDirectory>
</fileSet>
</fileSets>
<dependencySets>
<dependencySet>
<scope>runtime</scope>
<outputDirectory>lib</outputDirectory>
</dependencySet>
</dependencySets>
</assembly>