When you do a merge of the first two courses in Canvas, the content from the original sections is removed and a new section, with a new URL and no content, is created in Canvas. See the fabulous illustration below.
However, when you add another section to the merge, using your currently merged section as the source section, the new section should come in and not erase the content that was already created. See the second fabulous illustration below for how this works.
Just in case, you you should keep a backup of the course setup before performing a second merge, just to be on the safe side. However, this should make dealing with Digital Learning Cooperative courses much easier going forward.