I don't suppose you can do that with Excel's mail-merge feature (though someone may know I'm mistaken about that). But you can do it if you're willing to have your VBA code manipulate the Outlook object. I don't do that sort of thing very often, but I have done Outlook attachments in VBA.

But Outlook is very different from Excel, so to me it seems like a lot of work because I have to figure out all the unintuitive ways the Outlook object is structured. Still, it can be done.