She was conceived during a one-night-stand between her parents in the back of her father's car. At first, Adrian considered abortion, but later decided not to.
Adrian experienced some issues with Mercy while she was in the womb, but was told everything was okay. Her parents started dating and eventually got married soon before she was due.
Mercy was fine the day before she was born. That night, Adrian thought something was wrong. The next day, Adrian met her doctor at the hospital who told her the baby had passed away in the womb, and Mercy was delivered stillborn. Adrian and Ben held their daughter after she was born.
The doctors had no clue as to why she was stillborn. Her name was mentioned by Adrian in the episode "When One Door Closes ..."