Unfortunately it is not possible to add an attachment to a mail merge with Outlook.
However, there are two options for a workaround:
Upload the attachment to Box, and create a link to the attachment.
Proceed with the mail merge, but copy and paste Box shared link into the body of the email
Do a regular email message and BCC everyone with attachment. Make sure all email addresses are separated by a semicolon. There is a limit of a few hundred in the BCC line though. (Note merge fields will not be possible this way)