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I'd like to support this more seamlessly in the future, either by supporting a glob or, like Hive, taking a directory to query. There are some internal design things I'd have to think about first, though.
Until then, the best I can suggest is to create N tables, one per parquet file, then create a view that UNION ALLs the tables. If you invoke sqlite like sqlite3 mydb.db, it will persist the view so that future invocations of sqlite don't need to recreate it.