cat *.sql | mysql? Do you need them in any specific order?
If you have too many to handle this way, then try something like:
find . -name '*.sql' | awk '{ print "source",$0 }' | mysql --batch
This also gets around some problems with passing script input through a pipeline though you shouldn’t have any problems with pipeline processing under Linux. The nice thing about this approach is that the mysql utility reads in each file instead of having it read from stdin.