I would most likely try using SQL query with JMP tables. You can do this with Query()
Names Default To Here(1);
dt1 = Open("$DOWNLOADS/table1.jmp", Invisible);
dt2 = Open("$DOWNLOADS/table2.jmp", Invisible);
dt3 = Query(
Table(dt1, "t1"),
Table(dt2, "t2"),
"\[SELECT *
FROM t1
left join t2 on t1.'Time' >= t2.'Start Time' and t1.'Time' <= t2.'End Time'
]\"
);
-Jarmo