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]
(..) High Septon, this is a rather shocking thing to hear. I tend to both the highest born and the lowliest amongst us. Even prostitutes may earn the mercy of the Mother. So you were administering to the needs of these devout prostitutes? A man's private affairs ought to stay private. (..)2015 TvShow: Game of Thrones Title: High Sparrow Season: 5 Episode 3
(..) now is the time. I was wrong. You're the Lord Commander! We all serve you. I'm sorry. Not only for this, for all I've done and said. I was wrong! My Lord, please, mercy! Mercy! I'll go! I will! Please. I'm afraid. I've always been afraid. You have served us well, my son. (..)2015 TvShow: Game of Thrones Title: High Sparrow Season: 5 Episode 3