Algorithm could be enhanced in many ways. For instance, it is reasonable to check, if a[m-1] or b[n-1].
In any of those cases, there is no need to do more comparisons.
Algorithm could just copy source arrays in the resulting one in the right order.
More complicated enhancements may include searching for interleaving parts and run merge algorithm for them only.
It could save up much time, when sizes of merged arrays differ in scores of times.