Sorry, I don't believe that can be done *at all* let alone as the default.
My preference is to create the Excel file first, then select it as the
record source for the merge.
Another option: Create the list as a Word Table - Either use that as the
record source or copy the table & use Edit> paste Special - Text in an Excel
file if you prefer.
HINT: Just in case the "handy-dandy" data entry form is the reason you're
trying to create the new record list from within Word's merge features -
Once you type the captions in Excel leave the cell selector on the cell
below your first caption, then go to Data> Form in order to add/modify your
list of records... it isn't exactly the same, but it makes it easier if
you're not very familiar with Excel (or even if you are
)