You can't just use Range("City") or Range("State") - you need to say where they come from; otherwise the code will assume they are Word ranges. Furthermore, unless each 'excel sheet array' spans only a single cell, neither Range("City") nor Range("State") would output anything.
To see how to get the relevant field values (and save the output), have a look at
Send Mailmerge Output to Individual Files in the
Mailmerge Tips and Tricks 'Sticky' thread at the top of the Mailmerge forum:
https://www.msofficeforums.com/mail-...ps-tricks.html