This fixes the issue while keeping the merged Query.
You can pull the underlying SQL by Right Clicking on the last Applied Steps on the query you merged in the Power Query Editor. Then copy and open that query in Management Studio. I received the same error "Incorrect Syntax... Union". After reviewing the 7 pages of SQL, I noticed that the first Select had an ORDER BY at the bottom right before the UNION ALL. In SQL only one ORDER BY is allowed at the end after Unioning the Select Statements together.
To fix the issue I had to find where the I had "Sorted" in a query. So, I looked at the Query steps in the Queries I created (I was merging a Query that was referenced from another Query and the original Query had a Step "Sorted Rows". Removed that step and the Merged Query worked fine.
Seems like a bug in the Query folding to not take out the first Order By.