Your "Merchant Marine" in Imperialism is your merchant ships, which are required for carriage of all the items you buy or sell (except those you sell to another Great Power). There are several types, with few available at the start of the game; later types require the acquisition of appropriate technology.
You build the ships in the shipyard but you never see them. Sometimes you see which sea zone they are in when an enemy intercepts them. They may be captured or sunk; having a warship on escort duty may protect them.
The number of available holds appears under a ship icon at the right of the page when you are giving trade orders or when you are considering whether to buy items.
For some statistics, see Ship (Imp1).