The only way to underline text in a text field is to use the Rich Text Formatting option and an array of Span objects, with the underline property set to true. This is not possible with the built-in mail merge command, though, because it can only import plain-text values.
To do it would require a customized script that performs the mail merge, AND can convert the values into Spans.
If you're interested I could develop such a script for you, for a fee. I've already developed a mail merge script with additional features (Custom-made Adobe Scripts: Acrobat -- Mail Merge and Email), so it should not be too difficult.