When you merge conversations, the "primary" conversation which is typically the oldest conversation will remain open, and Kayako will close the other merged conversations into it. But one of the common cases that we receive from customers is that recently merged tickets are both showing as closed.
The customer is merging two open tickets. The expected behavior is that the merged ticket is closed and its information is transferred to the other ticket which remains open. In this case, both tickets are closed.
If you are not able to replicate the issue, it is most likely that a third ticket exists and either one of those tickets was merged with that (third) ticket.
Research and look for other tickets with identical information. Check the conversation history to validate if one of those tickets was merged into this (third) ticket.