As far as I am aware, there is no simple way to do this.

The options are:
1. Format it correctly in the Excel data file
or.
2. Derive three additional fields from the NI field using LEFT RIGHT and MID
functions in Excel to separate the three parts of the number i.e. 2 letters
6 numbers 1 letter and merge those fields - wherein you can format the
number field in Word with a switch
http://www.gmayor.com/formatting_word_fields.htm
or
3. Merge to a new document and run a macro to format the number:

Sub FormatNI()
   Selection.Find.ClearFormatting
   Selection.Find.Replacement.ClearFormatting
   With Selection.Find
       .Text = "([A-Z]{2})([0-9]{2})([0-9]{2})([0-9]{2})([A-Z])"
       .Replacement.Text = "\1 \2 \3 \4 \5"
       .Forward = True
       .Wrap = wdFindContinue
       .Format = False
       .MatchCase = False
       .MatchWholeWord = False
       .MatchAllWordForms = False
       .MatchSoundsLike = False
       .MatchWildcards = True
   End With
   Selection.Find.Execute replace:=wdReplaceAll
End Sub