Trying to combine portions of multiple sequences to create a final montage

I am trying to combine portions of multiple sequences to create a final montage. I have concert footage of an entire nights performance (25 songs). I have edited each song video as its own sequence. I now need to make a montage which shows select moments from each song (sequence) fading from song to song. I thought I could just create a new "Montage sequence" and drag each completed song sequence in. My intent is for my final montage to show about 10 seconds of each song. I have my final Montage sequence with the blue "nest or not" button on. When I try to drag song sequences into my Montage sequence, Premiere won't allow it. If I turn the blue button "off" Premiere will let me drag song sequences in but separates them out into layers (which is something I was hoping to avoid). I understand I could render out each song separately - but that is not ideal compression-wise. My goal is to have a master Montage sequence, containing subsequences of all my songs, and use that to generate my final montage.  Can someone please help me with this?