From the
--merge-list documentation:
"- If a line contains only one name, it is assumed to be the prefix for a binary fileset.
- If a line contains exactly two names, they are assumed to be the full filenames for a text fileset (.ped, then .map). These filesets may not contain multi-character alleles.
- If a line contains exactly three names, they are assumed to be the full filenames for a binary fileset (.bed, then .bim, then .fam)."
Nowhere does it say that VCF files are supported. You need to convert them to PLINK-format first.