You can use \*Caps, \*Lower, \*FirstCap within each merge field to do fairly
simple capitalization.
However, although \*Caps changes an uppercase string to lowercase except the
initial letters of each Word, \*Firstcap just sets the first letter to upper
case without changing any of the others. So to use FirstCap successfully you
would probably need e.g.
{ QUOTE { MERGEFIELD myfield \*Lower } \*Firstcap }
where all the {} are the special field code braces you can insert using
ctrl-F9.
Alternatively, if the conditions are favourable you may be able to do this
if there are suitable functions that you can use in the SQL query used to
retrieve your data. You would probably have to be getting your data via MS
Query, or writing your own OpenDataSource statements in VBA, or getting your
data via Access. The advantage would be that you didn't have to use these
formatting switches for every merge field. But I don't know whether the
AS400 ODBC driver would let you do that.