Mercy is gorgeous; in fact, it's one of my favorites. :-)
Mercy Lorraine,
Mercy Bernadette,
Mercy Caroline, and
Mercy Aletha are all wonderful (though the last one may be laying on the virtues too thick because
Aletha means "truth"). I like
Marie, but I agree that
Mercy Marie is singsongy and
Marie is extremely overused as a middle name.