Links to URLs don't use Mergefields as your code suggests - they use Hyperlinks. Accordingly, you could use a macro like the following to loop through all hyperlinks in a document so you can change (or not) the display text:
Code:
Sub Demo()
Dim HLnk As Hyperlink
For Each HLnk In ActiveDocument.Hyperlinks
With HLnk
.Range.Select
Select Case InputBox("Please input the code for the text to display:" & _
vbCr & vbTab & "1. 'Print Item'" & _
vbCr & vbTab & "2. 'Text Link'" & _
vbCr & vbTab & "3. URL", "Update Display Text", "3")
Case 1: .TextToDisplay = "Print Item"
Case 2: .TextToDisplay = "Text Link"
Case Else: .TextToDisplay = .Address
End Select
End With
Next
End Sub
An alternative would be to have separate macros for each kind of conversion you want to do, so you can assign each to a different keyboard shortcut. The drawback is that you'd have to manually select each link before changing it.