UA/CO and US/DL both have one foot in Star Alliance and one in Sky Team. Seems like some alliance rearranging will have to take place...
My prediction for what will happen if you see AA/NW, CO/UA, and US/DL all merge is the following:
AA/NW retains the AA name and remains in oneWorld.
CO/UA retains the UA name or comes up with some hybrid (United Continental Airlines (UCA) doesn't sound that bad) and remains in STAR.
US/DL keeps the Delta name and stays in SkyTeam, meaning US exits Star.
There is no way that you could have two of these new "mega airlines" in any one alliance.