Add Variable Hyperlink in Mail Merge in Word 2013

I'm trying to add a hyperlink to a mail merge field. So something like this:

{HYPERLINK "{MERGEFIELD "Links" }"}

So I create a field like this.

{ MERGEFIELD Links }

And the above works (it displays different links for different recipients).

However, when I go to Edit Field, and then attempt to add HYPERLINK to { MERGEFIELD Links}, Word will not allow me. Meaning that when I type HYPERLINK followed by a space, the "variable" field is gone. Instead of word displaying...

LINK

it displays...

   {HYPERLINK "{MERGEFIELD "Links" }"}

even after I press "update field". So Word is not letting me enter HYPERLINK for some reason.

How do I solve this?