Are you saying that you are trying to merge to video clips? If so, that's not possible, at least not using the Merge command. Please see this page in the help for more information about merged clips: Adobe Premiere Pro Help | Synchronizing audio and video with Merge Clips
From the limited information provided, I'd wager that nesting is the way to go. Please elaborate on what you mean about your problems with nesting. Why are you loading a nested sequence into the Source Monitor? What's in the sequence you're nesting, and what do you see in the Timeline when you nest it? Screenshots might help.