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]
(..) and open them on the next. You must long for the next life. In truth, I fear that, too. You imprisoned and humiliated my sister. Your sister sought the gods' mercy and atoned for her sin. What about my sins? I broke a sacred oath and stabbed my king in the back. I killed my own cousin. (..)2016 TvShow: Game of Thrones Title: Home Season: 6 Episode 2
(..) Your Grace. Lord Commander. I want to see my wife. The gods wait for Queen Margaery to confess her crimes and seek their mercy. The king must wait as well. Go and see your mother, Tommen. You're a bold man. ( chuckles ) On the contrary. (..)2016 TvShow: Game of Thrones Title: Home Season: 6 Episode 2