1) How do you save your pdb file (ligand and receptor included). Did you select the "single file" option at the bottom the save menu?
2) How looks your pdb file in a text editor (worpad for windows or gedit in Linux)? I'm not sure, somebody correct me if I'm wrong, when you are trying to merge two pdb files Chimera introduces some legends ("model") into the pdb file to indicate who is the pdb 1 and pdb 2, respectively. You should try (using your text editor) to find those legends and removing them from the pdb file, save the changes, then, you should be able to open your file in Pymol.