What type of result to you want from merging samples?

• If you're interested in spotting recurrent copy number alterations, try the heatmap command with all of your .cns files.
• If you want to quantify the significance of recurrent alterations, use the export seg command to create a SEG file from each .cns file of interest, then use the output SEG files with a recent version of GISTIC2. (The "markers" file is no longer needed in recent versions of GISTIC, I'm told. Just the SEG files should be enough. I haven't tried this myself.)

If you build a reference from control samples, the control samples should be prepared and sequenced with the same protocol as the test samples -- NOT WGS if the test samples were sequenced with a target panel. If you do have process-matched controls, then a pooled reference built from those controls is usually better than a control-free reference. Otherwise, just use a control-free reference.

Don't worry too much about the number of segments; instead, use the segmetrics and call commands to do further filtering if you need it. You can also repeat segmentation with a more stringent p-value threshold (-t) to reduce the number of segment breakpoints in the .cns files.