There is a way, but it takes a fair bit of work to implement.

First, some background. By default, if you insert a mailmerge field into a hyperlink field, the hyperlinks will all show the first record’s address as the 'Text to display' text.

Here's how you can do get a mailmerge to display your preferred default 'Text to display' text (e.g. 'Click Here' for all records) instead:
1. Disregarding mergefield issues for the moment, insert a hyperlink into the document in the normal way, choosing whatever 'Click Here' text you want in the 'Text to display' box.
2. Select the inserted hyperlink and press Shift-F9 to expose its field code.
3. Replace everything in the field after 'HYPERLINK' with your mergefield.
4. Select the field and press F9 to update the display.

In Word 2007 & later, you can make the display text variable also, by following these additional steps:
5. Position the cursor anywhere within the display text.
6. Insert a mergefield pointing to whatever data field you want to use for the display text (this could even be the same field as used at step 3 above).
7. Delete all of the previous display text either side of your last-inserted mergefield (note that this field will likely have updated already).
8. Execute the merge.
9. After merging to a new document, use Ctrl-A, F9 to update all fields. Without this, the mergefield hover text won’t update to the correct targets.

As you can see, even after all the setup work, your users will still have to do some manual intervention. I doubt Ctrl-A, F9 to update fields is any simpler than what, in most cases, could be no more than Alt-F8, OK.

Conversely, the macro could be made to run automatically after the merge has executed. This would require the use of a fair bit of additional coding, but is doable.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]