You could loop through the fieldnames collection and compare with your field name
Code:
Dim iFld As Integer
Dim bFound As Boolean
For iFld = 1 To ActiveDocument.MailMerge.DataSource.FieldNames.Count
'Debug.Print ActiveDocument.MailMerge.DataSource.FieldNames(iFld)
If UCase(ActiveDocument.MailMerge.DataSource.FieldNames(iFld)) = "MY FIELD" Then
MsgBox "'My Field' exists"
bFound = True
Exit For
End If
Next iFld
If Not bFound Then MsgBox "'My Field' does not exist"