I've managed to answer my own question. Second approach, so importing files to Blender one by one and rendering it turned out easier to achieve (for me at least). The script below works as expected for Blender 2.81 (I don't think it works with 2.9). It's clunky, and I bet every coder makes a facepalm seeing it. It also gives an Error
"StructRNA of type ...
You can select them both and group them into a meta strip (CRTL+G or right click and select "Make meta strip").
They become a single strip.
If you then want to edit stuff inside the meta strip, just select it and press Tab.