Maybe this thread is a bit stale now but I stumbled across it while searching for a way to divide the domain file. It is now possible. 
Multiple Domain Files#
The domain can be defined as a single YAML file or split across multiple files in a directory. When split across multiple files, the domain contents will be read and automatically merged together.
Using the command line interface, you can train a model with split domain files by running:
rasa train --domain path_to_domain_directory