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]
(..) who broke our army, Stannis, wanted to burn him alive to send us a message. Jon Snow defied that cunt's orders. His arrow was mercy. What he did took courage. And that's what we need today, the courage (..)2015 TvShow: Game of Thrones Title: Hardhome Season: 5 Episode 8