Mercury was a monkey of unknown species and one of the animal assistants of The Great Herrmann, along with Fred and Ginger the doves and Alice the bunny. He, like the other animal assistants before him, was untimely killed by a trap meant for Herrmann. In Mercury's case, by being bludgeoned by a falling sand bag.
To most people, aside from Alexandria who hated him, Mercury was sweet, gentle and fun to play with. Mercury was said to be happiest of all performing with balloons and children.
Only appeared as a corpse in Season 2, Episode 6, "Oh Oh Oh...It's Magic".