To add an attachment to your mail merge, you can just add them to your email template or use drag and drop.
One option is to simply drag and drop a file from the file explorer into the email window. Another option is to use the "Attach file" menu from the "Insert" ribbon menu.
Select "Browse this PC" to select the file or multiple files from your computer.
This also work in Outlook on the Web, Outlook for Mac and all New Outlook clients.
Select "Browse this PC" to select the file or multiple files from your computer.
Once added the attachment will be visible in the email template. Any attachments you add or images you add to the email will be copied into the mail merge. Send yourself a test message to test this.