Normally you would have the option to just keep adding the the initial on-the-go you start with. However, in the on-the-go is an option to save the playlist and then have the opportunity to make a different on the go. Another thing is that after you sync your iPod, the ON-the-go is erased and made a static playlist, leaving you room for a new one.
So one of two things happened. You either saved your original on-the-go on the iPod at sometime, or synced the iPod and it did it for you. If you want the songs from the other on-the-go in your current one, highlight the playlist and hold down the center button and all songs in it will go to your current on the go.
Manage this extra on-the-go in iTunes.