So, DefautlMySettings.ini is packaged to .pak file in
<YourGameProject>\Saved\StagedBuilds\WindowsNoEditor\<ProjectName>\Content\Paks
But it’s still not able to merge config file?
As a last resort, You should be able to call UObject::LoadConfig(…) and manually specific the path to config file.
There is also UObject::GetDefaultConfigFilename(…)