Unfortunately, the built in word merge only allows one record or row to be
sent to one word document.

about the only suggestion I can come up with is build your report as you
please, and then convert this resulting report or word document, or even
perhaps use a pdf document. (I guess I'm asking are you sure you actually
need a real word document, or can you perhaps use a report, or something
like a pdf?).

There's also a couple merge examples here, but they require bit of coding
skill to implement, but they do allow more than one record to be placed into
one document:

http://homepage.swissonline.ch/cindymeister/MergFram.htm

look on the left side for special merges. The one you want is

Multiple items per condition