Wrong Shortcut
You are using the wrong keyboard shortcut.
The keyboard shortcut for sorting ascending a range by the first selected column,
<x> is a column letter placeholder
ata > Sot Range > Sot Range by Column <X> (A-Z)
should be one of the following *
Alt+D R R
Alt+Shift+D R R
The keyboard shortcut you are using,
Alt+D S A
is for sorting (ascending) the entire sheet by the first selected column, and since it is sorting the entire sheet, any merged cells outside the selection are therefore included.
*
If you have 'Compatible spreadsheet shortcuts' enabled, you need to use Alt+Shift. If you do not, you can use either Alt+Shift or Alt.
The toggle is accessed using Ctrl+/ and under Help >Keyboard shortcuts