The package listed as a dependency on mkdoc’s AUR page is python-mergedeep, not python-deepmerge. Those are two different packages. The former is in the AUR, and the latter is in the extra repo.
Are you positive that the ModuleNotFound error mentioned “deepmerge” and not “mergedeep”?
I suspect that python-mergedeep, which mkdocs depends on, is not currently installed on your system. That could be why mkdocs didn’t work.
python-mergedeep in the AUR:
https://aur.archlinux.org/packages/python-mergedeep