Ideally, you'd give us a reproducible example (reprex) of your issue as a starting point. A reprex makes it much easier for others to understand your issue and figure out how to help. A lack of a reprex just makes it much less likely others will reply.
That being said, your error seems pretty self-explanatory; that function is trying to merge on the first columns of your data-object and dbf, but there are no matching values in these two columns.
I haven't worked with the CARBayes package much (which has the combine.data.shapefile() function), but I suspect just a bit of data wrangling with get you sorted. If you can, I'd provide a reprex, including the data or a sample of the data.