It can't be done out of the box, however, if you create a Catalog (on in
Word XP and later, it's called Directory) type mailmerge main document with
the mergefields in the cells of a one row table in the mailmerge main
document with the keyfield in the first cell in the row and then execute
that merge to a new document and then run the following macro, it will
create separate tables with the records for each key field in them.

' Macro to create multiple items per condition in separate tables from a
directory type mailmerge
Dim source As Document, target As Document, scat As Range, tcat As Range
Dim data As Range, stab As Table, ttab As Table
Dim i As Long, j As Long, k As Long, n As Long
Set source = ActiveDocument
Set target = Documents.Add
Set stab = source.Tables(1)
k = stab.Columns.Count
Set ttab = target.Tables.Add(Range:=Selection.Range, numrows:=1,
numcolumns:=k - 1)
Set scat = stab.Cell(1, 1).Range
scat.End = scat.End - 1
ttab.Cell(1, 1).Range = scat
j = ttab.Rows.Count
For i = 1 To stab.Rows.Count
   Set tcat = ttab.Cell(j, 1).Range
   tcat.End = tcat.End - 1
   Set scat = stab.Cell(i, 1).Range
   scat.End = scat.End - 1
   If Left(scat, 1) <> Left(tcat, 1) Then
       ttab.Rows.Add
       j = ttab.Rows.Count
       ttab.Cell(j, 1).Range = scat
       ttab.Cell(j, 1).Range.Paragraphs(1).PageBreakBefore = True
       ttab.Rows.Add
       ttab.Cell(j + 1, 1).Range.Paragraphs(1).PageBreakBefore = False
       For n = 2 To k
           Set data = stab.Cell(i, n).Range
           data.End = data.End - 1
           ttab.Cell(ttab.Rows.Count, n - 1).Range = data
       Next n
   Else
       ttab.Rows.Add
       For n = 2 To k
           Set data = stab.Cell(i, n).Range
           data.End = data.End - 1
           ttab.Cell(ttab.Rows.Count, n - 1).Range = data
       Next n
   End If
Next i