Using the Merchant to gain a third action in your last turn to win the game ... what a great idea, I hadn't thought of that!
The Merchant doesn't seem to be a strong card to play early, because of its penalty of increasing your tokens on the board. See for example the game pictured, where the Black player used the Merchant multiple times, but as a result had lots of game tokens on the board, and increasing the chances of Black's cards getting sent back to his hand (which happened, and Black lost convincingly).
I actually like the idea of saving the Merchant to the end of the game to be able to get rid of three cards to win the game; it adds another surprising element to the game end, and as a result you can't assume that a player with three cards can't yet win in his next turn. One could always lose the Merchant if another player is allowed to take a random card from your hand, so it isn't without risk either. I'm not sure that the above variant is an improvement.