[thatcat]

I know ffmpeg can do that, i've never tried just using cat.

An additional reason for not serving ads in the video file is that their ad clients probably want to know if someone watched it or not. By loading ad as a file associated with the ad client it's easy to verify that someone watched the ad and didn't just click out after 1s, etc.

[NTripleOne]

Not sure why you're being downvoted when that's entirely true; knowing what audience has actually engaged with your ad can be just as (if not moreso) valuable as an engagement in the first place.