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]
(..) to let Lord Eddard join the Night's Watch. Stripped of all titles and powers, he would serve the realm in permanent exile. And my Lady Sansa... has begged mercy for her father. But they have the soft hearts of women. So long as I am your king... treason shall never go unpunished. Ser Ilyn... (..)2011 TvShow: Game of Thrones Title: Baelor Season: 1 Episode 9
(..) Boys have been conquerors before. is the king's... the late king's brother. Lord Stannis has the best claim to the throne. He is a proven battle commander and he is utterly without mercy. Stannis Baratheon is Robert's true heir. The throne is his by rights. Sansa pleaded so sweetly for your life. (..)2011 TvShow: Game of Thrones Title: Baelor Season: 1 Episode 9