AutoText and other Building Blocks get stored in templates. During a merge an AutoText entry named "MyEntry1" will get inserted if you have the text "myentry1" in a record with the fieldname ATname and bring it in through a merge.
{ AutoText { MergeField ATname } }.
Such fields cannot be automatically created. You will need to do it by hand.
Using Fields in Microsoft Word
Ctrl+F9 creates a pair of the special field brace characters { }. You cannot just type them.