Internal hyperlinks break after mail merge

I'm using MS Office 2016. I have a number of hyperlinks within the document which I created using the following process: Right click > Link > Place in this document > Select a place in the document (i.e. a place formatted with a Heading style from the styles menu). The links work fine in the original document.

The document is also set up for a mail merge. After completing the merge, the links no longer work in the new documents that are generated. The hyperlinks still exist, but when I press Ctrl+Click on the hyperlink, I am just taken back to the top of the document, rather than the appropriate place selected. If I select the link and press Shift+F9, the text of the link is the same as is originally was. If I right-click on the hyperlink and select "Edit Hyperlink", I can see that the hyperlink is no longer set to "Place in This Document" but "Existing File or Webpage", and an "Address" has been added.

Can anyone help me to get my internal hyperlinks working again?