Измените (если необходимо) и попробуйте:
Option Explicit
Sub test()
Dim LastRow As Long, i As Long, j As Long, Count As Long
Dim str As String
With ThisWorkbook.Worksheets("Sheet1") 'Change sheet name if needed
LastRow = .Cells(.Rows.Count, "A").End(xlUp).Row
For i = LastRow To 2 Step -1
If (UCase(Left(.Range("A" & i), 1)) <> Left(.Range("A" & i), 1)) And UCase(Left(.Range("A" & i - 1), 1)) = Left(.Range("A" & i - 1), 1) Then
Count = 0
For j = 1 To Len(.Range("A" & i - 1))
If .Range("A1").Characters(j, 1).Font.FontStyle = "Bold" Then
Count = Count + 1
Else
Exit For
End If
Next j
str = .Range("A" & i - 1).Value & " " & .Range("A" & i).Value
With .Range("A" & i - 1)
.Value = str
.Font.Bold = False
With .Characters(Start:=1, Length:=Count).Font
.FontStyle = "Bold"
End With
End With
.Rows(i).EntireRow.Delete
ElseIf (UCase(Left(.Range("A" & i), 1)) <> Left(.Range("A" & i), 1)) And UCase(Left(.Range("A" & i - 1), 1)) <> Left(.Range("A" & i - 1), 1) Then
str = .Range("A" & i - 1).Value & " " & .Range("A" & i).Value
With .Range("A" & i - 1)
.Value = str
.Font.Bold = False
End With
.Rows(i).EntireRow.Delete
End If
Next i
End With
End Sub