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]
(..) small mercies. The world we need won't be built by men loyal to the world we have. The world we need is a world of mercy. It has to be. And it will be. It's not easy to see something that's never been before. A good world. How do you know? (..)2019 TvShow: Game of Thrones Title: The Iron Throne Season: 8 Episode 6