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]
(..) If I give everyone what they deserve, I'll have no one left to rule. Ser Barristan counseled mercy when I took this city right up to the morning he died. What do you think? Your Grace, I think that I am not fit (..)2015 TvShow: Game of Thrones Title: Kill the Boy Season: 5 Episode 5