Cuffmerge: EOF marker is absent. The input is probably truncated
There is a post about this on seqanswers. The poster says the following about cuffmerge behavior:


  I kept the temporary files while running cuffmerge. It builgs a SAM file from transcripts.gtf files. Then it seems first it reads it as BAM since I read samtools take the files as BAM default. Then it finds it is not a BAM so it tries SAM. Then it can read it and resume the task. 


So it sounds like the BAM file is generated from GTF as a kludge inside cuffmerge, not the other way around. 

Did you change any of the intermediate files or delete anything? Is there maybe a different cuffmerge run that it might be colliding with?

Did you get any output? it sounds like this error is frequently observed when actually the command completes fine, e.g. https://www.biostars.org/p/189139/. See other posts by googling the problem maybe, e.g. https://www.biostars.org/p/344439/

(I know this isn't a proper answer but it was too involved for a comment.)