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]
(..) The Crown's decision on this matter is final. Will I be walking naked in the streets? Or will I spend a few months in the sept dungeons first to teach me about the gods' mercy? You have served your house and your king faithfully for many years. And you will continue to do so. But not in this city. (..)2016 TvShow: Game of Thrones Title: Blood of My Blood Season: 6 Episode 6
(..) She wouldn't just cry. She would be angry. She would want to kill the person who did this to her. What's your name? Mercy. You have very expressive eyes, Mercy. Wonderful eyebrows. Do you like pretending to be other people? I have to go. My (..)2016 TvShow: Game of Thrones Title: Blood of My Blood Season: 6 Episode 6