Word ignores the formatting applied in Excel, so you have to apply the formatting in Word.
Right-click a merge field in your merge document.
Select Toggle Field Codes from the context menu.
You will see something like
{ MERGEFIELD FieldName \* MERGEFORMAT }
where FieldName is the name of the merge field that you want to format.
For a number, change it to look like for example
{ MERGEFIELD FieldName \# "$#,##0.00" }
For a date, change it to for example
{ MERGEFIELD FieldName \@ "MMMM d, yyyy" }
Press F9 to hide the field code and to update its result.
