See
http://www.gmayor.com/ManyToOne.htm In both One to One mode and Many to One mode this will enable you to merge to e-mail as an attachment either in Document or PDF format, with or without a personalised covering e-mail message. The only proviso is that the merge data must be in Excel format.
Word mail merge has never been able to merge to e-mail as attachment. I believe Adobe Acrobat's Word add-in may have enabled such a process, but Word alone cannot do so.