How to merge two documents that both have references?
There are (at least) two ways to do this: Either copy from one document to another so that they end up in the same document, or to use the main document / sub-document feature in Word.
Whatever the procedure, remember to unformat the references in the Word documents before merging them. Then choose to reformat them after the documents are merged.
See more on formatting and unformatting in Word.