import json, os
d = {}
filenames = sorted([fn for fn in os.listdir() if fn.endswith('.json')])
for filename in filenames:
    f = open(filename)
    nd = json.load(f)
    # option a:
    d[filename] = nd
    # option b:
    # d.update(nd)
f = open('result.json', 'w')
json.dump(d, f)
f.close()