re: Speaking of Mercury.
Good thinking Batman...
...but no.
Mercury is too far from the Sun.
It's surface temperature is "only" 750C. Some exoplanets orbit so close (orbital period of 3 days, vs Mercury's 88) that their atmospheric temperature is around 1500C! Admittedly, these latter *are* overheating and losing hydrogen, but below 1200-1300K you can't boil off a gas giant.