In essence, that kind of formatting does not come across using MailMerge.

As long as your worksheet does not have more than 63 columns, you can try
a. selecting it, edit|copy
b. edit|Paste special into a Word document in a format that preserves the
formatting
c. use that as the data source
c. when you insert { MERGEFIELD } fields into your Mail Merge Main
Document, where you want the formatting, change e.g.

{ MERGEFIELD mycolumn }
to
{ REF mycolumn }
or
{ mycolumn }

This is unsupported, relies on very old Word behaviour, and is probably not
a good long-term choice, even if it works for you.

Peter Jamieson