Multithreading function for merge_datasets

[yhl48]

Before submitting

• Was this discussed/agreed via a Github issue? (no need for typos and docs improvements)
• Did you read the contributor guideline, Pull Request section?
• Did you make sure to update the docs?
• Did you write any new necessary tests?

What does this PR do?

Adds multithreading to merge_datasets

PR review

Anyone in the community is free to review the PR once the tests have passed.
If we didn't discuss your PR in GitHub issues there's a high chance it will not be merged.

Did you have fun?

Make sure you had fun coding 🙃

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 78%. Comparing base (ac0c89b) to head (7555aaf).
Report is 1 commits behind head on main.

Additional details and impacted files

@@         Coverage Diff         @@
##           main   #413   +/-   ##
===================================
  Coverage    78%    78%           
===================================
  Files        34     34           
  Lines      5052   5056    +4     
===================================
+ Hits       3960   3964    +4     
  Misses     1092   1092           

[bhimrazy]

Awesome 😊, thanks @yhl48! 🎉