You can try this:
a. instead of formatting your zip code column as 4-digit and 9-digit ZIP
codes. format it as General
b. enter 5 digit codes as e.g. 123450000, i.e. pad them on the right to 9
digits
c. enter 9 digit codes without the -, e.g. 123456789
d. you should then have a column that will sort in a useful way either in
Excel or Word
e. in Word, suppose the column is called z. use

{ IF { =int({ MERGEFIELD z }/10000)*10000 } = { MERGEFIELD z }
"{ ={ MERGEFIELD z }/10000 \#00000 }" "{ MERGEFIELD z \#00000'-'0000 }" }

(I feel sure there is a simpler way, but that should do it. Or you could use

{ IF { MERGEFIELD z } = "*0000"
"{ ={ MERGEFIELD z }/10000 \#00000 }" "{ MERGEFIELD z \#00000'-'0000 }" }

as long as no 9-digit code can end in "0000"

Peter Jamieson