Hi jonnii, the plugin indeed builds pull request branches themselves, not the pre-fly merge branches by default and does not provide a way to choose otherwise.
However there is an experimental feature that provides such an option. If you set a TeamCity internal property teamcity.pullRequests.buildBranchFilterEnabled to true, the GitHub Pull Requests build feature settings dialog will contain one more field “By PR branches”, which will allow you to choose if you want to build head branches, merge branches or both.
Please be aware that the feature is experimental and may cause some unexpected effects (e.g. extra builds, builds failing without reason) in builds of the merge branches. If you are going to use it, please provide us with you feedback. Thanks!