I see what you mean.
Each script you launch (either by double-clicking the exe or the .ahk file) is launched with a new instance of autohotkey.
The reason for this is because each script needs its set of variables, functions, labels and such (called the context). If you had 2 scripts launching with the same context, they'd be using each other's variables, thus, interefeering with each other (with a 99.99% of probably that it'd be a bad interaction).
You can copy 2 scripts into only one .ahk file, but most probably it simply won't work. It takes some ahk knowledge to be able to change the 2 scripts so that they don't interfeer with each other.
I believe BrotherS does this frequently, though.