Do any of the thumbnails in the filmstrip, or grid, or other previews of your photos show that the original image is missing? LrC will need those to create the merge, not just the previwes, nor smart previews.
Please post a screenshot of the entire error message, and that will confirm that the error is coming from Photoshhop, not LR. Also, in both LR and Photoshop, please do the menu command Help > System Info and copy/paste here the first ten lines so we can see exactly which versions you're running.
Here are two threads about similar error messages (which may or may not be the same as yours):