It could just be semantics, I'm not clear on how you're managing the data in your situation...
What does it mean to "append" the DataTables? Why are you using LINQ to join already "appended" DataTables? Have you tried using DataTable.Merge( )?
What is the nature of the "upper limit" caused by too many Scenarios and Quarters?
If it's memory, consider creating a custom table to stage your data. This way there is no need to merge/append/join-with-LINQ. Simply insert each DataTable into the custom table. Then tie your GridVIew to the custom table.
