You're right, the records of merchant mariners killed during World War II are NOT found among the Coast Guard records to which I directed you. I should have remembered this myself.
Here is what appears at the Armed Guard webpage to which I directed you (i.e., http://armed-guard.com/searchmil.html):
"Service records of merchant mariners killed during World War II are available through:
Archives I Reference Unit (NWCT1R)
National Archives and Records Administration
7th & Pennsylvania Ave. NW
Washington, DC 20408
Perhaps these are the same people who have helped send you in that endless circle. Or perhaps this is a more specific mailing address and e-mail address (assuming both are still valid addresses) than you have had before. Whatever the case, good luck in your searching.
Ron Carlson, Webmaster
Armed Guard / Merchant Marine website