One might expect that a proton and neutron could easily collide and form a deuteron. However, since $m_d < m_p + m_n$, the process $p + n \to d$ can't conserve both energy and momentum. For example, if the proton and neutron approached with equal and opposite momenta, conservation of momentum says there is nowhere to "put" the $$K_p + K_n + (m_p + m_n - m_d)c^2$$ worth of kinetic energy one would expect the deuteron to have.
Now of course protons and neutrons CAN in fact collide and produce deuterons + gamma rays (i.e. $p + n \to d + \gamma$ is an allowed process) -- but how does this square with conservation of momenergy? Intuition suggests the proton and neutron could create an excited state of the deuteron with $m_d^* > m_p + m_n$ in such a way that $p + n \to d^*$ conserves both energy & momentum, and then the decay $d^* \to d + \gamma$ occurs soon afterwards. Is this what typically happens?