The only way to do this is to create the required order in the data file
before merging. You could do this by running a catalog/directory merge into
a single row table, sort the table, add a header row of fieldnames then use
the following macro from fellow MVP Doug Robbins to sort the data into the
required order.

Sub SortData()
' Macro to assign numbers to data source so that it can be sorted to cause
'labels to print down columns
Dim Message, Title, Default, labelrows, labelcolumns, _
i As Integer, j As Integer, k As Integer
Message = "Enter the number of labels in a row"    ' Set prompt.
Title = "Labels per Row"    ' Set title.
Default = "3"    ' Set default.
' Display message, title, and default value.
labelcolumns = InputBox(Message, Title, Default)
Message = "Enter the number of labels in a column"    ' Set prompt.
Title = "Labels per column"    ' Set title.
Default = "8"    ' Set default.
labelrows = InputBox(Message, Title, Default)
With ActiveDocument.Tables(1)
.Columns.Add BeforeColumn:=ActiveDocument.Tables(1).Columns(1)
.Rows(1).Range.Cut
End With
k = 1
For i = 1 To ActiveDocument.Tables(1).Rows.Count - labelcolumns
   For j = 1 To labelrows
       ActiveDocument.Tables(1).Cell(i, 1).Range.InsertBefore _
       k + (j - 1) * labelcolumns
       i = i + 1
   Next j
   k = k + 1
   i = i - 1
   If k Mod labelcolumns = 1 Then k = k - labelcolumns + _
   labelcolumns * labelrows
Next i
ActiveDocument.Tables(1).Sort FieldNumber:="Column 1"
ActiveDocument.Tables(1).Rows(1).Select
Selection.Paste
ActiveDocument.Tables(1).Columns(1).Delete
End Sub

http://www.gmayor.com/installing_macro.htm