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Try awk '{FN=$1".txt"; KR=$2; LL=$3; LH=$4; while (getline < FN) if ($3==KR && $2 >= LL && $2 <= LH) print}' aa.txt
You may need to print to individual files, e.g. FN".new".

Here is one way of doing this:
#!/bin/bash

for file in *.txt
do
[ "$file" = "aa.txt" ] && continue

echo "Fixing file: $file"

awk '
NR == FNR {
...