You can connect different datasources in a single workbook. Here you have different excel file. So you have to connect each excel file in one connection & then you can define the common field between your different datasources. Here Tableau is treating all the connection as different datasource & you have to use Data Blending here to join these datasources. Data Blending uses Left Outer Join. - Example - Data Blending on a Worksheet
You can also create extract of these files, if you do not want to use excel everytime or live connection. If you want to join these files as a single datasource then this is not possible right now.