Everything Gerry says about Tables and Columns and Ranges, and Word not being Excel, and the problems with this, is all true.

One way to do what you want, however, is to step through the column and trail the merge behind you in such a way as not to affect the stepping. This code keeps check, and merges cells above the current cell when needed:

[VBA]Dim CurrentCell As Word.Cell
Dim TextCell As Word.Cell, LastEmptyCell As Word.Cell

For Each CurrentCell In ActiveDocument.Range.Tables(1).Columns(2).Cells
If CurrentCell.Range.Characters.Count > 1 Then
If Not TextCell Is Nothing And Not LastEmptyCell Is Nothing Then
TextCell.Merge LastEmptyCell
End If
Set LastEmptyCell = Nothing
Set TextCell = CurrentCell
Else
Set LastEmptyCell = CurrentCell
End If
Next
If Not TextCell Is Nothing And Not LastEmptyCell Is Nothing Then
TextCell.Merge LastEmptyCell
End If[/VBA]