I have not done this so can only provide a couple of guesses.
You should be able to do this on OneDrive.


This will perhaps work with SharePoint as well.
It will not work on a network drive otherwise.


Otherwise, have one document container that brings in other documents using IncludeText fields.



Base all of them on the same template using the same styles. Do all formatting using styles.

Set any automatic numbering in that template up according to the steps here:
How to create numbered headings or outline numbering in Ribbon Versions of Word by Shauna Kelly



Do not even think about using the Master Documents "Feature."