Could you explain a bit more please?
Should I merge the .osm.pbf files into one big .osm.pbf file and then run split on that followed by mkgmap to create gmapsupp.img?

 
osmconvert NL.osm.pbf BE.osm.pbf LU.osm.pbf  -o Benelux.osm.pbf

Is this what you are suggesting?