As said in "Data sources you can use for a mail merge", "Important: No matter what type of file you use as a data source, be sure to save it on your local computer or a file share; saving at an HTTP location isn't supported for mail merge."
Beside, you could try to go to File>Options>Advanced and scroll down to the General section of the dialog and check the box for Confirm file format conversion on open.
Then, when you select the data source, use the OLE DB Database Files method of connecting to the data source. If you do not see that option, click on the Show all box in the Confirm data source dialog that will have appeared.
Hope the information is helpful to you.
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