By induction it suffices to show, for $X$ a metric space and $A_1,A_2,B_1,B_2$ four nonempty compact subsets of $X$,
$$d_{\mathcal{H}(X)}(A_1\cup A_2, B_1\cup B_2)\leq \max \{d_{\mathcal{H}(X)}(A_1, B_1),d_{\mathcal{H}(X)}(A_2, B_2)\}.$$
There are multiple ways of showing this; here is one way that uses the "ball definition" of Pompeiu-Hausdorff metric:
$$d_{\mathcal{H}(X)}(A,B)=\inf \{r\in\mathbb{R}_{\geq0}| A\subseteq [B|<r] \mbox{ and } [A|< r]\supseteq B\},$$
where $[E|<r]=\{x\in X| \exists e\in E: d(x,e)<r\}$ is the union of all open balls of radius $r$ whose center is some point in $E$.
Proof: Without loss of generality say $d_{\mathcal{H}(X)}(A_1, B_1)\geq d_{\mathcal{H}(X)}(A_2, B_2)$. Let $r>d_{\mathcal{H}(X)}(A_1, B_1)$. Then
\begin{align*}
&A_1\subseteq [B_1|<r],\quad[A_1|\leq r]\supseteq B_1\\
&A_2\subseteq [B_2|<r],\quad[A_2|\leq r]\supseteq B_2.
\end{align*}
Thus
$$
A_1\cup A_2\subseteq [B_1\cup B_2|<r],\quad [A_1\cup A_2|<r]\supseteq B_1\cup B_2,
$$
so that
$$
\{r\in\mathbb{R}_{\geq0}| A_1\subseteq [B_1|<r] \mbox{ and } [A_1|\leq r]\supseteq B_1\}
\subseteq \{r\in\mathbb{R}_{\geq0}| A_1\cup A_2\subseteq [B_1\cup B_2|<r] \mbox{ and } [A_1\cup A_2|\leq r]\supseteq B_1\cup B_2\}.
$$
Taking infima concludes the proof.
Here is a relevant idea: Ultimately this can be considered as the statement that taking finite unions is Lipschitz: Fix $N\in\mathbb{Z}_{\geq0}$ and consider the $N$-ary union operation:
$$
\bigcup:\underbrace{\mathcal{H}(X)\times \mathcal{H}(X)\times \cdots \mathcal{H}(X)}_{N \mbox{ many}}\to \mathcal{H}(X), (A_1,A_2,...,A_N)\mapsto \bigcup_{i=1}^N A_i.
$$
Endowing the space of tuples of subsets with the $\ell^\infty$ product metric (the distance between two tuples is the maximum of the Pompeiu-Hausdorff distances between components), gives that the Lipschitz constant (see e.g. Question on the distortion of a metric embedding and Lipschitz maps) of finitary unions is not greater than $1$.
In fact, as you mention one can reorder the sets over which one takes unions to get a possibly better estimate:
$$
d_{\mathcal{H}(X)}\left(\bigcup_{i=1}^N A_i,\bigcup_{i=1}^N B_i\right)\leq \min_{\sigma\in S_N}\max_{1\leq i\leq N} d_{\mathcal{H}(X)}(A_i,B_{\sigma(i)}),
$$
though ultimately the version without the permutations seem sufficient for most "soft" (in the sense of e.g. Difference between soft analysis and hard analysis) purposes.
I should also mention that currently I am teaching a class about these kinds of things and just recently we covered this statement; though I had left your question as an exercise; see https://youtu.be/XydQoxKnodE?feature=shared&t=7753