You have fields within fields e.g. { MERGEFIELD { MERGEFIELD City }} whereas it should simply be { MERGEFIELD City }. But you may find the process easier to follow if you look at Paul Edstein's tutorial which you can download from the downloads page of my web site.

And if you want separate documents for each city, you should find http://www.gmayor.com/ManyToOne.htm altogether simpler to set up, though this is not a true mail merge process.

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Graham Mayor - MS MVP (Word) (2002-2019)
Visit my web site for more programming tips and ready made processes www.gmayor.com