My best guess so far is to import csv-files one at the time, and convert them to mcmc.lists. The "As.mcmc.list" function takes a pars argument, so I can then strip of uninteresting parameters.
Thereafter use "as.mcmc.list" from coda library, and combine chains. I can then convert this to a shinystan. E.g.:
mcmc1 <- As.mcmc.list(read_stan_csv("cmdstan_output_1.csv")), pars=pars)
mcmc2 <- As.mcmc.list(read_stan_csv("cmdstan_output_2.csv")), pars=pars)
mcmc <- as.shinystan(as.mcmc.list(c(mcmc1,mcmc2)
This works ok, but I lose the diagnostics etc I would have if I could directly combine them to a shinystan object. I would be happy to hear if anyone have better ideas.