You need to create a project with multiple files in Trados Studio, but you are unable to since some or most of the files are processed as Reference instead of Translatable, so you need to create a separate project for each file.

The safest way of creating a project is directly from the Projects view in Trados Studio. Upon creation, you can add all the needed files.

The workflow was not the right one, i.e. all the files were opened directly in the Welcome view of Trados Studio by drag&drop, instead of being added to a project creation wizard.