You are trying to pass an absolute path and filename to the "directory" property of the putFile processor. The PutFile is designed to write files to the target directory using the filename associated to the FlowFile it receives. What you are doing will not work. Instead you should add an updateAttribute processor between your MergeContent processor and your PutFile processor to set a new desired filename on your merged files. How do you plan on handling multiple merged FlowFiles since they will all then end up with same filename? I suggest making them unique by adding the FlowFile UUID to the filename. Below is example of doing this using UpdateAttribute:
Out of your MergeContent processor you are routing both original (all your un-merged FlowFiles) and merged relationships to the putFile processor. Why? Typically the original relationship is auto-terminated or routed elsewhere if needed.
I also see from your screenshot that the PutFile processor is producing a "bulletin" (red square in upper right corner. Floating your cursor over the red square will pop up the bulletin. The bulletin should explain why the putFile is failing.
It appears as though you are auto-terminating the failure relationship on PutFile. This is a dangerous practice as it could easily result in data loss. A more typical scenario is to loop failure relationship back on PutFile processor to trigger a retry in the event of failure.