I don't believe you can perform multiple DMLs from the MERGE.

You can however perform an insert from the output of a merge.

From msdn OUTPUT CLAUSE example K.

"INSERT INTO Production.ZeroInventory (DeletedProductID, RemovedOnDate)

SELECT ProductID, GETDATE()

FROM

( MERGE Production.ProductInventory AS pi

USING (SELECT ProductID, SUM(OrderQty) FROM Sales.SalesOrderDetail AS sod

JOIN Sales.SalesOrderHeader AS soh

ON sod.SalesOrderID = soh.SalesOrderID

AND soh.OrderDate = '20070401'

GROUP BY ProductID) AS src (ProductID, OrderQty)

ON (pi.ProductID = src.ProductID)

WHEN MATCHED AND pi.Quantity - src.OrderQty <= 0

THEN DELETE

WHEN MATCHED

THEN UPDATE SET pi.Quantity = pi.Quantity - src.OrderQty

OUTPUT $action, deleted.ProductID) AS Changes (Action, ProductID)

WHERE Action = 'DELETE'; "