Going off some tips in this thread:
Is there replacement for cat on Windows
cd D:\MyDir;
copy /b *.DAT _all.DAT;
load data local infile '_all.DAT' into table catasto.dm_import fields terminated by '|' lines terminated by '\n';
del _all.DAT;
That should get you what you're after without any python required.
What copy /b is doing is essentially taking all the files in the directory, joining them up end to end and then saving the output in _all.DAT
It's a good idea to delete _all.DAT after you're finished or you could end up in a situation where you keep joining _all.DAT on to the end of _all.DAT in addition to all the .DAT files in the directory...messy!