If $\mathcal{F}_1 \subset \mathcal{F}_2 \subset \dotsb$ are sigma algebras, what is wrong with claiming that $\cup_i\mathcal{F}_i$ is a sigma algebra?
It seems closed under complement since for all $x$ in the union, $x$ has to belong to some $\mathcal{F}_i$, and so must its complement.
It seems closed under countable union, since for any countable unions of $x_i$ within it, each of the $x_i$ must be in some $\mathcal{F}_j$, and so we can stop the sequence at any point and take the highest $j$ and we know that all the $x_i$'s up to that point are in $\mathcal{F}_j$, and thus so must be their union. There must be some counterexample, but I don't see it.
Best Answer
The problem arises in the countable union; your argument is correct as far as it goes, but from the fact that $\cup_{i=1}^n x_i\in \cup_{i=1}^{\infty}F_i$ for each $n$ you cannot conclude that $\cup_{i=1}^{\infty} x_i$ lies in $\cup_{i=1}^{\infty} F_i$: the full union must be in one of the $F_j$ in order to be in $\cup_{i=1}^{\infty}F_i$.
For an explicit example, take $X=\mathbb{N}$; let $F_n$ be the sigma algebra that consists of all subsets of $\{1,\ldots,n\}$ and their complements in $X$. Now let $x_i=\{2i\}$. Then each $x_i$ is in $\cup F_i$, but the union does not lie in any of the $F_k$, hence does not lie in $\cup F_i$.
Added: In this example, $\cup_{i=1}^{\infty}F_n$ is the algebra of subsets of $X$ consisting of all subsets that are either finite or cofinite, so any infinite subset with infinite complement will not lie in the union, and such a set can always be expressed as a countable union of elements of $\cup F_i$.