I think it is because "that" serves as a conjunction here. There are two clauses, you combine them using "that". It can be omitted. (I thought you were leaving = I thought that you were leaving). __ In the second case you use it as a pronoun, instead of "it", which is also possible. But the meaning will be slightly different.

When you use "it" , "that" is a conj. used to introduce the following sentence " it was a merger " When you don't use "it","that" is a prom. used for referring sb/sth that has already been mentioned.

In fact, you could take "that" our of that sentence more easily than you can take out "it". "I thought that it was a merger" and "I thought it was a merger" are pretty interchangeable sentences. If you say "I thought that was a merger" it contains a lot more confusion/immediacy than is really appropriate in the sentence. For example, if you and a friend are hiking in the woods and see something furry go past which startles you, but then turns out to be a dog, you might say "I thought that was a wolf!" But there is no circumstance in which talking about a merger should be so alarming. I'm not sure I've explained that very well...