Mail Merge and printing problems

We have a mail merge that will not use the print settings. It is a two page letter. Page one we would like to come from the tray with a preprinted letterhead and page 2 from the main 8.5 x 11 inch tray. Both pages are the same size, orientation, etc. We have tried this various time by making changes in Page setup, changing the options on the printer, using section breaks……but to no success. It seems like Word is ignoring the page setup options and print driver options when printing from a mail merge…..Any suggestions??