Well, combining of FetchXML queries would be too difficult (if even possible) for your requirements (non-distinct records in results and keeping name of marketing list to which members belong to). Please note that according to documentation FetchXML query can be run against only one root entity (say Account or Contact), other entities can be only linked. Since you do not have direct links between Accounts and Marketing lists in the database (instead of that you have just a FetchXML string stored in DB), you will not be able to use link-entity for your job.
Assuming you are doing it now via C# code - this is actually a good way to go. It will give you more control on your data - you can rearrange/combine/convert easily. I think that you should not worry about performance. Several fetch xml executed one by one would not take much more time than a huge combined one may potentially take. Also if you implement collection manipulation wisely in C# you can achieve pretty good performance. I really do not think that combined huge FetchXML will give any performance benefits, but only difficulties to maintain.