Remove mail merge data source from MS Word Document
In many (if not all) cases, answering "No" to this prompt should be enough to disconnect the data source. But you should then save the document, and try opening it again.
If that doesn't work, try to get to the point where the document is open, then open the Mailings tab, click the Start Mail Merge button in the Start Mail Merge group, then select Normal Word Document from the dropdown. Then save the document.
If you don't save the document after disconnecting the data source, the problem will recur.
This took me eternity so I thought I'd post an answer as well.
In my case I had to remove the old template document, which triggered the query.
This is possible in the developer tools menu, on the very right.