Including CRM Sales Order in Mail Merge

Step 1: Export Sales Order Entity customization from CRM Environment

Step 2: Open Customization file and then Update (or Add) IsMailMergeEnabled as 1, Save the changes.

Step 3: Import the changed file in to CRM and publish the changes.

If above method does not work then try following unsupported method, connect database and run following query, change entity name as per your requirement..