If you're having problems setting up trusted locations then the first step may be to test the merging process

This addresses the issue where, despite the document being created, merge codes are not populated with data.

The way to approach this is as follows:

1. Set up a data source, say a document in Word with two columns.
I've attached one called 'RecordDataSource'

Locate this document on your network drive.

2. Set up a merge document, with two merge fields
I've attached one called 'MergeTemplate'​

3. Connect the merge document to the data source located on the remote/network drive

You may be prompted to find the location of the data.

On the Mailings tab (MS Word 2013 / 2016) select recipients and Use an Existing List.

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Locate the data source document on the remote location.

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4. Test that the data is populating

In the first place, these were the steps used to create a merge document are outlined below, just in case: