update as of 2021. In the current version of Mendeley Citation Plugin, there is no option to select 'Merge Citations'. Here's what works for me on Mac:

• Open the plugin in Word
• Select citations that you want to merge together (there should be a yellow-ish box around each citation). Make sure they are as close together as possible (you can drag them around by clicking the ... icons on the top left)
• Click on the this group of citations (may have to repeatedly click on it - it's a bit of a mystery to me) and a yellow "manual override" will pop up.
• Manually enter what you want the text to be then click save change (hint: the default text tells you which citation has been selected) screen shot on mac word

Update as of 2021. In the current version of Mendeley Citation Plugin, there is no option to select 'Merge Citations'. Here's what works for me on Mac:

• Open the plugin in Word
• Select citations that you want to merge together (there should be a yellow-ish box around each citation). Make sure they are as close together as possible (you can drag them around by clicking the ... icons on the top left)
• Click on the this group of citations (may have to repeatedly click on it - it's a bit of a mystery to me) and a yellow "manual override" will pop up.
• Manually enter what you want the text to be then click save change (hint: the default text tells you which citation has been selected)

Screenshot on Mac Word: