What method are you attempting to use to weld the foil? I would suggest micro-GTAW or micro-PAW, combined with pulsed current to minimize your heat input.
We have successfully tried ultrasonic welding and pulsed Nd:YAG laser. When on USW try to keep the pneumatic clamp pressure low, otherwise overweld will occur. Also in Nd:YAG the beam dia has to be a bit more. This will prevent vaporization. I have not used CO2 for this purpose, and it seems to me that material may burn at such high intensities.
I would recommend to use laser welding in heat conduction mode. The biggest problem here is usually not the welding process, but the clamping, as it has to be very precise.
When welding so thin foils, I recommend pulsed laser beam welding, due the low heat input. The use of solid state laser with small spot size (50 microns) for welding this type of stainless steel will bring good results. I agree with Mr. Barroi, that bigger issue will be the clamping of foils.