Probably not without a lot of additional work after the merge. Data Merge is not very sophisticated and works best for things like address labels. You might want to look at the commercial catalog plugins, or think about using an XML workflow instead.
I haven't tested these ideas...
If a category/sub-category fits on a single page, it should be as easy as creating the merge frame to fit the margins (l/r, t/b), place your fields in the frame and run the merge.
Also, you can define a style to break to a new page (Keep options, half-way down in a drop-down, change to On Next Page). So I could see that for the Category style definition possibly working. Might be best to change that setting after the merge, though.
If you keep the merge frame only the size needed to hold the data and use multiple frames per page, you are going to need to stitch the frame threads, delete all but the first one and reflow. It's a PITA, but doable with some scripts (free ones).