You could add an envelope to the mail merge main document (Tools>Letters and
Mailings>Envelopes and Labels>Envelopes>Add to Document) and set up the
merge fields for the address in the envelope that will be added at the
beginning of your document.

If your printer cannot handle the mixture of envelopes and letters, execute
the merge to a new document and then use the following macros to print the
envelopes and the letters separately.

Sub PrintEnvelopes()
Dim i as Long
With ActiveDocument
   For i = 1 to .Sections.Count - 1 Step 2
       .PrintOut Range: = wdPrintFromTo, From: = "s" & i", To: = "s" & i
   Next i
End With
End Sub

Sub PrintLetters()
Dim i as Long
With ActiveDocument
   For i = 2 to .Sections.Count Step 2
       .PrintOut Range: = wdPrintFromTo, From: = "s" & i", To: = "s" & i
   Next i
End With
End Sub