LeetCode 23 Merge K Sorted Lists - Why Naive Fails

Merge lists one by one. First merge list 0 and list 1, then merge the result with list 2, and so on.

If each list has roughly $n/k$ nodes and total nodes is $n$, this takes $O(kn)$ time. The first list keeps getting longer, so later merges become expensive.

Can you merge more efficiently?