Normally i would put it in a different folder in gzdoom folder location.
gzdoom\campaign wads
it worked well before.
so i put the file names in target line. iwad doom.wad or doom2.wad an thne it work usually.
so -iwad doom2.wad -file doom_complete.pk3
sometimes it load all episodes an soemtime sit won't
i don't know what i did now. it works now. but, it was a hassle getting it to worked.