Suppose you're a provider that supports multiple web shops, and they share a similar URL structure differentiated by a parameter. For example:
Since they're all in the same directory, it's fine by our rules to put the URLs for all of the stores into a single Sitemap, under http://example.com/ or http://example.com/stores/. However, some webmasters may prefer to have separate Sitemaps for each store, such as:
As long as all URLs listed in the Sitemap are at the same location as the Sitemap or in a sub directory (in the above example http://example.com/stores/ or perhaps http://example.com/stores/catalog) it's fine for multiple Sitemaps to live in the same directory.
Multiple sitemaps in one directory make URLs easy to maintain. "Whether you list all URLs in a single Sitemap or in multiple Sitemaps (in the same directory of different directories) is simply based on what's easiest for you to maintain. We treat the URLs equally for each of these methods of organization."