I would first put the list into a new worksheet then copy the list to Word.
Private Sub ListSheets()
'list of sheet names starting at A1
'first insert a new worksheet
Dim rng As Range
Dim i As Integer
Set rng = Range("A1")
For Each Sheet In ActiveWorkbook.Sheets
rng.Offset(i, 0).Value = Sheet.Name
i = i + 1
Next Sheet
End Sub