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]
(..) disembowel that pompous child beater. No. Not Ser Meryn. And you. Come on. Mercy. Please. Please, mercy. Ser Gregor. Welcome to the capital. Thank you for riding (..)2014 TvShow: Game of Thrones Title: Mockingbird Season: 4 Episode 7