"Join" is an all-purpose word we use when we connect things together.
We join two pieces of wood to make a joint. We can join our friends for a night out.
"Splice" is more specialised and usually means the joining of threads as in splicing cables together.
However, an author can splice together the separate threads of a story, too.
If threads are involved, use "splice". If not, use join.
Hope this helps.