Could gravitational waves near merging black holes collapse to a black hole themselves?
You might like to look at some of the simulations from the SXS collaboration. Essentially the black holes and the gravitational waves are aspects of the same thing -- the curvature of space. In particular, the way black holes seem to merge in these simulations is that the two black holes come very close and space around them becomes more and more curved (and in more complex ways). Some of that curvature spreads out in the form of gravitational waves, becoming less intense as it gets further away, but some of it, very close to the two black holes reaches the "critical" level of curvature at which an event horizon appears (extending the event horizons of the two black holes) which then "rings down" becoming spherical and form the merged black hole.