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 marched against the High Sparrow, - against the Faith. - We marched for you. The gods could have punished you and Father, but they didn't. - They showed mercy. - And what about your brother? What mercy did they show him? Loras's only hope is to confess his crimes and repent. (..)2016 TvShow: Game of Thrones Title: The Broken Man Season: 6 Episode 7
(..) a mother sings her son to sleep." You learn quickly. There are some who know every verse of the sacred text, but don't have a drop of the Mother's mercy in their blood and savages who can't read at all who understand the Father's wisdom. For years I pretended to love the poor, the afflicted. (..)2016 TvShow: Game of Thrones Title: The Broken Man Season: 6 Episode 7