I had this problem on a photograph I was manipulating. I had about 6 layers each with various blend modes and layer styles and when I merged them, the merged result looked nothing like the 6 layers before they were merged.

So I went google hunting and the best thread explaining what was going on was this one.

I've also seen a number of suggested workarounds on the web, but I tried them all and none of them worked for me. So what I did in the end was merge the layers one by one to isolate the layer that was givng the problem. I changed the blend mode in that one layer so something that was very similar (but not quite the same) and it merged fine.

If you google: merge layer blend mode problems

It brings up references to this problem on a number of boards. It doesn't happen often, but when it does, it's a real pain. (Only ever happened to me the once).