Attached is a sample step that implements Jostein's approach. It has a non-sequence primary "source" port and a sequence "stylesheets" port holding the sequence of XSLTs.
The code has inlined sample source and XSLTs, but if you remove them it should be generic enough to be reusable as-is.
Depending on how you get your initial list of URLs, you can probably use p:load step in a p:for-each to build the sequence of XSLTs.
HTH