cat $HOME/zsh/*
should be easy to copy-paste or pipe it to an editor.i mean, the problem of viewing all history files at once is much easier than writing to the same one file from multiple sessions.
It's still inconvenient because the .bash_history and .zsh_history files I was studying were inside of .tar.xz and .zip backup files. I wouldn't want to crack open those archives just to concatenate a hypothetical set of separate history files to single temp files. Instead, the GUI archive browser I used just highlights a single history file and loads it into the editor.