I believe you would be responsible of reading the directory. The C library dirent.h is the first thing I think of, but I'm sure there's better C++/system/framework techniques.
#include <iostream>
#include <vector>
#include <dirent.h>
#include <Magick++.h>
int main(int argc, const char * argv[]) {
    std::vector<Magick::Image> stack;           // Hold images found
    DIR * dir_handler = opendir("/tmp/images"); // Open dir
    struct dirent * dir_entry;
    if (dir_handler != NULL)
    {
        // Iterate over entries in directory
        while ( (dir_entry = readdir(dir_handler)) != NULL ) {
            // Only act on regular files
            if (dir_entry->d_type == DT_REG) {
                // Concatenate path (could be better)
                std::string filename("/tmp/images/");
                filename += dir_entry->d_name;
                // Read image at path
                stack.push_back(Magick::Image(filename));
            }
        }
        closedir(dir_handler); // House keeping
    } else {
        // Handle DIR error
    }
    // Append all images into single montage
    Magick::Image output;
    Magick::appendImages(&output, stack.begin(), stack.end());
    output.write("/tmp/all.png");
    return 0;
}
There's also ExpandFilenames(int *,char ***) in the MagickCore library. 
// Patterns to scan
int pattern_count = 1;
// First pattern
char pattern[PATH_MAX] = "/tmp/images/*.png";
// Allocate memory for list of patterns
char ** dir_pattern = (char **)MagickCore::AcquireMagickMemory(sizeof(char *));
// Assign first pattern
dir_pattern[0] = pattern;
// Expand patterns
Magick::MagickBooleanType ok;
ok = MagickCore::ExpandFilenames(&pattern_count, &dir_pattern);
if (ok == Magick::MagickTrue) {
    std::vector<Magick::Image> stack;
    // `pattern_count' now holds results count
    for ( int i = 0; i < pattern_count; ++i) {
        // `dir_pattern' has been re-allocated with found results
        std::string filename(dir_pattern[i]);
        stack.push_back(Magick::Image(filename));
    }
    Magick::Image output;
    Magick::appendImages(&output, stack.begin(), stack.end());
    output.write("/tmp/all.png");
} else {
    // Error handle
}