We've been using the same two words to explain everything about this game since the launch of D1:
Space magic.
Idk just pretend the Traveler gave Mercury a new atmosphere so that it could maintain life or something... Make up your own story it will probably make more sense than what Bungo gave us
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im going with this theory. we saw the simulation of old mercury. plants and stuff growing in a suitable environment. Traveler terraformed Murcury just like it did venus(were nasa probes can reach the ground before melting) and Titan(whos atmo should consist of all natural gas) and nessus which is out in pluto space...