I actually reported this as an issue with railo https://issues.jboss.org/browse/RAILO-3048 but the bug still happens in Lucee, so I am copying it over here. I hope that is OK.
The documentation states that when using CFPDF with the action="merge" and a directory as source, the files when merged should be in alphabetical order, but they are not. I have the cfdocument extension installed, but I don't believe that this is part of the bug. You could also reproduce by using pre-existing pdfs.