The traps article in the wiki mentions that you can capture nearly anything in a cage trap if the cage trap square also has Giant Cave Spider webbing on it. Otherwise, friendly creatures don't set off traps (but wild animals do). This method would require you to get a Giant Cave Spider to web your traps, which is a serious undertaking.
There is another possible option. The same article mentions that your dwarves can become trapped if they lose consciousness while on the same tile as a cage trap. It is possible, although I have not tested it, that the same would apply to merchants. Unfortunately it is much harder to make merchants lose consciousness.
On further thought, it is possible that the merchants no longer count as friendly after you attack them, but any traps they have seen while friendly might not work. If the merchants are human then a human diplomat sort of effect may have occured, which would mean that any traps previously seen by the diplomat (or perhaps merchants) would not be effective.
To reiterate; the options I see are three. One, use a Giant Cave Spider. Two figure out how to knock the merchant unconscious while he is on the right tile. This may or may not work. Three make sure the merchant chases you over traps he has never seen before. Again, this may or may not work.
Option one is the most likely to work. Do note, however, that there are downsides to messing with merchants too much. Read the caravan article, especially the point about loyalty cascade as it can kill your fortress. Also if prevented from leaving they can go insane and attack your dwarves.