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a lazy way :
grep -i "snp1" *.txt | awk 'NR>1{print $NF;next}1' | xargs >new_file

awk ' BEGIN {
printf "SNP\tBP\tCHR\tP\n"
} $1 == "snp1" {
n = $1 "\t" $2 "\t" $3
if ( n in R1 )
RN[n] = RN[n] "\t" $NF
else
{
...

Are you trying to do this only for snp1 or for each snpX ?

If you already have the list in a file, just "cat" it into the loop. The loop just takes one file name in every run, so as long as you provide this one filename all is fine. "ls" would have provided...

Just shell and cat:
{
read filename
cat "$filename"
while read filename
do
{
read # use "read; read" to skip two header lines
cat
} <...

I think that you can change the above to:

p=2
k=0
cat file1 >>EUR.all.Fst
while read file
do
while read line
do
if [ k -eq 1 ] ...

You didn't tell us if there is any naming convention on the file names, so it is difficult to suggest a loop where you don't have to name the possible file names but instead generate them. In any...

p=2
k=0
cat EUR.1.fst >EUR.all.fst
while [ p -lt 561 ]
do
while read line
do
if [ k -eq 1 ]
then
...

awk 'BEGIN{srand()}
NR%10 == 1{i=int(rand()*10+1)}
{i=(i>10)?1:i;print > (FILENAME "_" i++)}' file
Is this OK?
Not very random though.

Replace
srand
with
srand().