How do I unmerge iPhone voicemails on AT&T?

You can't. If you are using the same Apple Account on two phones, or two numbers on one phone, voicemail, call logs etc., will be merged.

Apple Accounts should not be shared. Read this --> Make sure that each family member has a unique Apple Account - Apple Support

And if you'd like to separate the two phones from the same account, this user tip from Lawrence Finch will help with that --> How to “unshare” an Apple ID - Apple Community

Are you talking about 2 phone numbers on a single dual-SIM device? or two separate physical phones?

Voicemail (assuming that's the 'VM' you're referring to) should be related to the phone number, unrelated to the iCloud account on your phone, so if phone number 1 is getting voicemails for calls to phone number 2, that's an AT&T issue.

If it's a dual-SIM phone with two numbers, then the phone interface will show you all your calls and voicemails in a single, unified list, but should indicate which SIM/account the voicemail came in to. Still separate from your iCloud account though.

The only way iCloud would play into this is via FaceTime calls, but in that case Apple consider all calls to the Apple Account as equal, whether initiated via a phone number or email address associated with that account. The answer here would be to un-link the second phone number from the Apple Account so that it isn't used for FaceTime calls/iMessage, etc.