For continuous numbering, you can either:
• start the page numbering in the source documents at the appropriate number for each of them*; or
• bookmark all of each source document except for its final paragraph break and include the bookmark reference in the INCLUDETEXT field.

The nesting error suggests you're embedding multiple INCLUDETEXT fields in other INCLUDETEXT fields. There is no need to embed them.

* You can have Word manage the sequential numbering by inserting a field coded along the lines of:
{SET LastPage {NUMPAGES}}
in each source document except the last, then using an INCLUDETEXT field to reference that in each successive document, coded along the lines of:
{={INCLUDETEXT "Path & Filename1" LastPage }+{PAGE}}
{={INCLUDETEXT "Path & Filename1" LastPage }+{INCLUDETEXT "Path & Filename2" LastPage }+{PAGE}},
etc. in each of the source documents after the first.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]