When creating the mail merge report, all fields must be on the same line. Even though you do not see the entire field name, the data will export.
Once you have named and saved your data file, you must open the data file (*.csv) in Word and remove the double quotes around your data items list which is on the top one &/or two lines. Then re-save the data file and close. You will then be able to create your mail merge in Word.