Mail merge tried to create each entry as its own page, not its own file. However, I was able to fake it by creating a two-column table, one with my data and the other with my Evernote mail-in submission address. I then ran the merge with output to email, and it sent each line as a separate note. I had to manually delete the "Mailed in Note" title so the text would copy up, but it was still faster than the manual way I was doing it before.