mail merge cannot print letterhead 1st page with follower

I am unable to make a mail merge document print from 2 trays on a sharp printer.   I do not beleive it is the printer as in page set up I am able to select tray 2 for first page and tray 5 for other pages.  The problem is it only uses the letterhead for the first page and prints the rest on plain paper.
The document consists of 2 pages each for about 500 receipients so we are looking to make the first page on letterhead and the second page on plain paper