Why are you relying on a user session Sandeep?
Statelessness is one of the key architectural constraints of REST. A call should not rely on a state (aka session). Each request to a REST service must contain all the information needed to understand and process this request.
Would it be possible from the C# app to add extra information, such as a unique identifier in which multiple files can be linked to each other?
What you could do is let Mendix generate this unique token first, and push the files later on with this specific token, which you keep in memory on the C# app.