If you select the mergefield in the mailmerge main document and apply the
formatting to it, that is the format in which it should appear in the
document created by executing the merge.

If that doesn't work, you could try using Alt+F9 to toggle on the field
codes and then replace the \* MERGEFORMAT with \* CHARFORMAT.  If there is
no \* MERGEFORMAT, then just add \* CHARFORMAT inside the closing field
delimiter }, now select the M of MERGEFIELD and apply the desired formatting
to it.