The people were 'at the mercy of' the advancing army. = The army advanced, and the people were 'at their mercy'. [=the people could do nothing to defend themselves from the army]
The prisoner confessed his crimes and 'threw himself on the mercy of' the court. [=the prisoner begged the court for mercy]
He 'showed no mercy' to his enemies. = He 'showed' his enemies 'no mercy'. [=he treated his enemies very harshly]
(..) are you doing, Clegane? Burying the dead. You knew these people. Not really. We ask the Father to judge us with mercy. We ask the Mother to... Fuck it, I don't remember the rest. I'm sorry you're dead. You deserved better. (..)2017 TvShow: Game of Thrones Title: Dragonstone Season: 7 Episode 1