I am not referring to Hawking radiation and although I see there should be no way the collision can produce electromagnetic wave after all, a black hole is simply a region of space right?
In principle two completely isolated black holes would not emit any light when they merge. However real black holes are invariably associated with some form of matter. This could be an accretion disk if the black hole is actively absorbing matter, or possibly material in orbit that originated from the stellar system in which the black hole formed. When matter like this is present it is going to be heated by the tidal forces created by the merger and it will radiate light.
Though it's unlikely ever to be the case, a merger between two black holes with no associated matter would be an interesting test for quantum gravity effects. Quantum gravity does allow graviton-graviton scattering to create standard model particles and detecting, or failing to detect, such particles would give us information about quantum effects in gravity.