It is not possible to send out labels in bulk as a mail merge. You cannot turn labels into mail merge emails or SMS, or attach labels to emails in bulk.
You can create labels from School > Communications > Labels. If you want to create labels, follow this article.
If you wish to make a mail merge using a different communication type, such as email or letter, with information that is not included in the Merge Fields section in Mail Merge emails, letters, or SMS, please see this article.