If you look at the problem, you will at first notice that you want to define something like a user-defined aggregation to combine the overlapping time intervals. However, if you look at the input data, you will notice that since the data is not ordered, you will either have to maintain the state for all possible intervals and then merge disjoint intervals as bridging intervals appear, or you need to preorder the intervals for each user name to make the merging of the intervals easier.
The ordered aggregation is simpler to scale out, but U-SQL does not provide ordered user-defined aggregators (UDAGGs) yet. In addition, UDAGGs normally produce one row per group, while in this case, I may have multiple rows per group if the ranges are disjoint.
Luckily, U-SQL provides a scalable user-defined operator called a reducer which gives us the ability to aggregate a set of rows based on a grouping key set using custom code.
There are some good insights here, so read the whole thing.