The word mercy is one of those loaded words with many meanings and connotations. Unfortunately, the modern use of this word has tended to focus on its association with the word pity or clemency. The older meaning of mercy, the one intended in a religious or spiritual context, means so much more.
A quick seach at dictionary.com lists the follow meanings for mercy:
Compassionate treatment, especially of those under one’s power; clemency.
A disposition to be kind and forgiving: a heart full of mercy.
Something for which to be thankful; a blessing: It was a mercy that no one was hurt.
Alleviation of distress; relief: Taking in the refugees was an act of mercy.
The first definition is the modern connotation. It is like two competing sport teams. One team is winning by a large margin, so the coach decides to lighten up and have mercy on the losing team. The winning team gives the losing team a break and avoids total humiliation. This definition, coupled partly with the second definition, applies also to the merciful treatment of prisoners.
It is the other three definitions of mercy, especially the last one, that is the true deeper meaning of the word. To have mercy on someone is to take away their pain, to help end their suffering.
The Jesus’ Prayer hinges on the word mercy:
Lord Jesus Christ, have mercy on me.
The prayer is asking Jesus to take away our pain, our anxiety, our suffering. And in taking our pain away, we will be healed. We will be emptied. Our window will become a little cleaner for His Light to shine through. We will be able to act in a small way like Him, through Him, and in Him, and give mercy to others, to help take away their pain too.