Cleoman,
Keep fiddling with it. I saw the behavior you originally described; Paradox 9 appears to "auto-fit" the orientation to the papersize (and, yes, this was with SP4). It's hard to secribe, but I did see the behavior you described in your first post.
In fiddling with the fanfold paper size on my end, I was able to adjust the margins to a place roughly similar to the standard size without the Orientation being reset.
You might need to set things slightly less than 8-1/2, perhaps 8.4" or something along those lines. The right-margin doesn't necessarily need to be 6.9. They key is to make something that's close, but not exactly the same as the normal paper size. It needs to be different enough to fake out the algorithm that's kicking in. (And you may need to specifically choose your Portrait setting).
Alternatively, you could simply use the fanfold size and simply design the report so it doesn't go past the 8-1/2" limit. After all, the printer doesn't know if you actually have 15" paper in the print or 8-1/2" paper.
We're simply trying to trick the software into behaving the way you need it to.
As far as being wring, well, I am frequently wrong and not afraid to admit it. After all, you can learn if you don't make mistakes. Well, you can, but I've always learned more from my mistakes than my successes, I'm afraid. (And, yes, I'll avoid the obligatory self-deprecating remark that I'm tempted to make.

)
I'm always glad to hear when I haven't gotten things right, because it gives me a chance to evaluate my ideas. In this case, I haven't got a dot matrix I can test with, so I have to restrict my efforts to those that seem to work.
In any event, this is the only way I can see to get things to work. The problem is that the Paradox 9 UI is trying to be too helpful. Whoever designed that algorithm was probably quite pleased with it; however, they didn't realize that there are cases where people need to do something unusual from time to time.
Thankfully, the dialog is redesigned in P10, so it may be worth upgrading just to get around the problem. I know; I know. However, there are some deals around for WPO 2002 Pro, not that the 2003 version is out.
Also, I suppose it's entirely possible you could create a merge document in WP or even Word. While it might take longer, it might also provide another way to tackle the problem.
Hope this helps...
-- Lance