Tiffany, I think you mean to ask why you can't connect your grandmother to your own profile. If so, the answer is that you only connect to your immediate ancestors (your parents) and descendants (your children). All other connections flow through them. Your mother should be connected to your grandmother and you should be connected to your mother.
I looked at your profile and clicked the ANCESTORS button there. It looks like all these connections have been made.
By the way, it appears that Archibald would be your great grandfather and Julian Jr would be your gg-grandfather.
Merging is something we do to combine duplicate profiles for the same person, when we discover them, so you would not want to merge your profile with your grandmother's.