When you open the recipients list for viewing, the name of the data source
is displayed in a box at the bottom left of the dialog box. Seelct the name,
and the Edit option should become available. Click it, and you should be
able to edit.

However
a. that does not work for all data source types.
b. after you have made your edits, I suggest you try closing your mail
merge main document and closing Word before going any further. Why? Because
in some cases, Word appears to make the changes, but then it turns out that
it cannot save the changes properly. If you don't see any messages about
temp. files etc. you should be ok - open Word again, open the mail merge
main document, open the recipients dialog box, make sure the changes are
there, and away you go.

Edit the data source.