There can be a problem here, yes, but we can take steps to solve it. For a start, you can use the prodigy.models.ner.merge_spans() function to group the annotations onto the same sentence. You should concatenate your datasets and pass them through this function, and then use the ner.print-dataset function to check that the results are correct. Next, you can pass your annotations through the ner.make-gold recipe, so that you can manually correct any missing entities. This should let you create a dataset you can use in spaCy or another NER tool.
The ner.gold-to-spacy recipe currently only exports the annotations to character offset or BILUO format – it doesn't yet reconcile spans referring to the same input hash. Adding an option to make it output the a full JSON file for training with spacy train is a good idea, though!