As far as I'm aware you can not do this directly. One potential way to do the workaround is to "reshape" the data from long format to wide format (using casestovars), do the merge, and then reshape back into long format (using varstocases). Below is a use example (if any clarification is needed on the code just ask).

data list free / ClassNbr (F1) Fact1 (A1).
begin data
1 A
1 D
2 A
3 B
end data.
dataset name data1.

casestovars
/id = ClassNbr.

data list free / ClassNbr (F1) Fact2 (A2).
begin data
1 XX
1 XY
3 ZZ
end data.
dataset name data2.

casestovars
/id = ClassNbr.

match files file = 'data1'
/file = 'data2'
/by ClassNbr.
execute.

varstocases
/make Fact1 FROM Fact1.1 to Fact1.2
/null = KEEP.
varstocases
/make Fact2 FROM Fact2.1 to Fact2.2
/null = KEEP.
This creates some cases that you do not want, here I have just defined a set of commands to identify those cases and take them out (I'm sure this could be improved to be more efficient).

*now cleaning up the extra records.
compute flag = 0.
if ClassNbr = lag(ClassNbr) and Fact1 = lag(Fact1) and Fact2 = lag(Fact2) flag = 1.
select if flag = 0.
execute.
if Fact1 = " " and Fact2 = " " flag = 1.
select if flag = 0.
execute.
if ClassNbr = lag(ClassNbr) and Fact1 = lag(Fact1) and Fact2 = " " flag = 1.
select if flag = 0.
execute.
if ClassNbr = lag(ClassNbr) and Fact2 = lag(Fact2) and Fact1 = " " flag = 1.
select if flag = 0.
execute.
I'm sure it would be possible to make this more robust (probably making some custom python functions). But hopefully this helps get you started.