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There is no need to change the Excel data in any way to have ordinals (including superscripting if you want it) in a mailmerge. Field coding in your Word mailmerge main document can do all the ordinal formatting for you! Besides which, once again, your solution requires outputting the result to a different cell, which is not what the OP asked for...
For Word mailmerge purposes, you could use a field coded as:
{MERGEFIELD MyDate @ "dddd 'the {MERGEFIELD MyDate @ d \*Ordinal} of' MMMM, yyyy"}
And, if you want superscripting of the ordinals, you could use a field coded as:
{QUOTE{SET MERGEDATE {MERGEFIELD MyDate}}{MERGEDATE @ "dddd 'the' d"}{IF{=(MOD({={MERGEDATE @ d}+89},100)>2)*(MOD({={MERGEDATE @ d}+9},10)<3)}= 1 {=MOD({MERGEDATE @ d},10)-2 # ^rd;st;nd^} ^th^}{MERGEDATE @ "' of' MMMM, yyyy"}}
where the 'rd', 'st', 'nd' and 'th' in the field code are all superscripted.
Alternatively, you could use a field coded as:
{QUOTE{SET MERGEDATE {MERGEFIELD MyDate}}{MERGEDATE @ "dddd 'the' d"}{^IF^{=(MOD({={DATE @ d}+89},100)>2)*(MOD({={MERGEDATE @ d}+9},10)<3)}= 1 {=MOD({MERGEDATE @ d},10)-2 # rd;st;nd} th \* Charformat}{MERGEDATE @ "' of' MMMM, yyyy"}}
where the 'IF' in the field code is superscripted.
Any of these will output the merged dates along the lines of 'Thursday the 10th of September, 2015', with/without superscripting. Other date formats are just as easily constructed.
Note: The field brace pairs (i.e. '{ }') for the above examples are all created in the document itself, via Ctrl-F9 (Cmd-F9 on a Mac); you can't simply type them or copy & paste them from this message. Nor is it practicable to add them via any of the standard Word dialogues. The spaces represented in the field constructions are all required.