No it's not a tree. It's more like a graph. Some branches split and merge again later. Species are not well defined neither (or, if you prefer, there are plenty of competing definitions)

What's an example of species merging?

They really don't, at least not in a way where their genomes would mix in equal parts, or be concatenated.

The closest to merging is probably mitochondria, which probably were single-cell creatures ingested by some very early (single-celled) ancestor of us and, instead of being devoured, ended up in a symbiotic relationship within its host. The mitochondria to this day have their own genome and function a lot like a cell-within-a-cell. Same for plants and photosynthesis.