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 gods' judgment is fierce, but also fair. The Warrior punishes those who believe themselves beyond the reach of justice. But the Mother shows her mercy to those who kneel before her. I take full responsibility for my many sins and unburden myself of my desires. My only remaining wish (..)2016 TvShow: Game of Thrones Title: The Winds of Winter Season: 6 Episode 10