In a culture where the popular view of God is an angry judge, this sounds like we are pleading for God not to smite us or something. But this couldn’t be further from the truth. A lot is lost in translation.
The Greek word for ‘mercy’ is ‘eleos’ and has the same root as the word for olive oil ‘elaio’. Oil was historically used as a soothing agent for wounds. The oil was poured onto the wound and massaged in, gently soothing the injured part and making it whole again.
When we say ‘Lord have Mercy’ we mean to say, Lord soothe, heal, comfort and make whole the injured part of my soul.