In your mail merge main document,
a. Press Alt-F9 to show the underlying field codes
b. Look for the date field. It will probably look something like

{ DATE \*Mergeformat }

c. Change "Mergeformat" to "Charformat" so the field looks like

{ DATE \*Charformat }

d. Format the entire field (actually just the "D" of "DATE" and possibly
the space before it should be enough) with the formatting you need
e. Press Alt-F9 again to show "field results" view
f. select all (ctrl-A)
g. press F9 to re-execute all the fields

Peter Jamieson