Christians frequently define "mercy" as failing to deliver something (bad) to someone when they deserve it. This is contrasted with "grace", giving a person something (good) when they don't deserve it.
I want to make two points here: first, that this kind of mercy - "God's mercy", if you will - is of a fundamentally different kind to the more human kind of mercy we all understand, and secondly that this conception of mercy is fundamentally at odds with modernity.
Let's begin by getting to grips with what it means to deserve something. These Christian notions clearly presuppose some conception of desert, and furthermore that humans are beings which are capable of deserving particular kinds of treatment. Can a dog, however, deserve a particular kind of treatment? The answer, I think we will generally agree, is no: a dog lacks (in Christian terms) a soul or (in more secular terms) the kind of reflective cognitive capacity that is necessary to understand moral rules.
This does not mean that it is not worth rewarding and punishing dogs, but it means that the choice of treatment is dictated by something other than desert: most obviously, the desire to encourage certain kinds of behaviour and to discourage others. How far does this extend to humanity? Many philosophers, including all utilitarians, will aver that dissuasion of crime and other wrongdoing is the sole purpose of punishment. To speak of "desert", one makes a controversial commitment to the truth of a moral system sufficiently fine-grained to take into account such features as the intention of the agent.
To bring out the difference, consider the two following archetypes of "mercy". The first is the case of Abdelbaset al-Megrahi, who blew up a plane killing 259 people on board as well as 11 poor unfortunates who happened to be hit by falling parts of the plane. For this he was sentenced to life imprisonment, but eight years later was released as he was thought to be within a couple of months of death.
We can debate the utilitarian merit of al-Megrahi's release, but fundamentally we can at least make sense of it in these terms. His release allowed him and his family great relief, and probably didn't do to much to incentivise terrorism. (On the other hand, it caused a lot of anger among the British and American publics). The Christian notion of mercy can explain this, but it can also explain the ultimate piece of Christian mercy - the fact that Christians, though deserving of hell, will not taste it. This saving is not conditional upon better behaviour - indeed, it is given in the full knowledge that Christians will continue to sin and sin and sin. From the utilitarian perspective of modernity, this is utterly alien.