How??? You do the merge, which either creates a new commit for the change, or appends the commits to your existing tree. Then you push that to the remote. If the push fails, you can just push again, it's not lost. And if the merge failed, you didn't have any merge commit to begin with.
There used to be a pretty consistent bug that if an on-site PR merge failed but you clicked "Retry", that it just did a basic non-squash full-merge discarding all your commit message work, often requiring a revert to tidy things up. It could be similar to that.
