Decimal concatenation of squares
Pyth, 23 21 20 bytes

e.ff!-sMT^R2Z./`^Z2Q


Thanks to @isaacg for golfing off 1 byte!

Try it online.

How it works

                      (implicit) Store the evaluated input in Q.
 .f                Q  Filter; find the first Q positive integers Z such that:
                ^Z2     Compute the square of Z.
               `        Cast to string.
             ./         Compute all partitions of the string.
   f                    Filter; find all partitions T such that:
      sMT                 Cast all elements of T to integer.
         ^R2Z             Compute the squares of all integers in [0, ..., Z-1].
     -                    Remove the squares from the integers in T.
    !                     Compute the logical NOT of the result. This returns True
                          iff all integers in T are squares of numbers less than Z.
                        Keep T if `!' returned True.
                      Keep Z if `!' returned True for at least one T.
e                     Retrieve the last of the Q matches.