I don't quite understand what you are trying to do. If you are referring to MS Word Mail Merge, this is normally used to 'merge' variable data (e.g. names and addresses) from a SOURCE document into FIELDS contained in a MAIN document (that you have to create) that contains otherwise static text. I assume you don't want to merge a DIFFERENT picture into each of a number of documents being produced from the main document.
Assuming the same picture is wanted in the final documents, you can insert it in the main document by clicking on Insert > Picture > From file... and navigating to the folder containing the picture you want. The Mail Merge can then be used to insert variable data into the main document.
Hope I haven't mis-understood your problem and that the above may help.