Error with HDR merging

Hi guys, 

Ive been having issues with HDR merging today. I just learned that all the exposure shot files have to be the same so I went to check on each exposure shot and sure enough one exposure shot out of the group will have a different file format. At the end of the file they'll have CR2, but 1 in the group will say DNG instead. Why is this and why does 1 of the shots change format?