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]
(..) you can't be trusted. Save my father. Truly you should. Killing the man will do you no good. - Save him, please. - Show him mercy. Show the people what a good king should be. Good people, you may all relax. My father's friend shall be spared the-- (..)2016 TvShow: Game of Thrones Title: The Door Season: 6 Episode 5