I do not think there is a pre-defined limit, other than the fact that files
in Windows cannot exceed a defined (but very large) limit, but there are
various possible practical limits, e.g.
a. in Word 2002/2003, it can take a very long time to load large text data
when you connect to the data source - even a few thousand records can cause
problems
b. even when you output "directly" to a printer, the output is not split
into jobs, one for each letter or record in the data source - the entire
output is one job which has to be handled by the print spooler

Other than that, things are more likely to depend on the length of the
records in the text file and the complexity of the mail merge main document.

Peter Jamieson