Due to changes in Google's User Data Policy, third-party apps can not store files converted to PDF into users' Google Drive.
That said, you can instead use the Mail Merge function to send yourself a copy of the documents you generated from Document Merge by emailing them to your own address as a PDF attachment.
If you are currently using Mail Merge, simply make sure you check the box next to "Send document as PDF attachment" to send the documents generated in Document Merge as a PDF attachment to your emails.
If other people are recipients and you additionally need your own copy of the PDF, simply add your email address in the CC or BCC fields.
If you're not currently using Mail Merge on your sheet, here's how you can add a simple mail merge function to your Document Merge. (See also: STEP 5 - Configure Mail Merge section)
1. Add a column to your Google Sheets spreadsheet, which you will use to put the address of the email recipients. Name it something intuitive, like "Email address" or "Email recipient."
2. Fill the column with the recipient/s of your choosing.
Make sure to REFRESH the G Merge Plus add-on afterwards.
3. Configure your Mail Merge settings as follows.
a. Tick the box next to Mail Merge.
b. In "Recipients" select the column name you created which contains your email address.
c. Tick the box next to "Send document as PDF attachment." This refers to the document created in the Document Merge section.
TIP: You can also add specific users as recipients, CC, or BCC. If you're only sending the documents/mail merges to one or two email addresses, this is a simpler way of doing it.