So at the step under Finish and Merge, you're just hitting Print?

I know from doing Email merges with a big list, it seems to spool as it sends them individually. I would think that you could choose Edit Individual Documents under the Finish and Merge dropdown, and it should present you with a document consisting of all your envelopes, and printing from there should be printing one file.

However, make sure you Print Preview first, as I just tried this with an old setup of mine and it would have printed a blank envelope between every one with data. I'm not sure why. I replaced the section breaks with manual page breaks in the document and that fixed it.