But finished songs can also be cut from albums. Like B-sides. The only reason Mercy wasn't made a B-side is because U2 was thinking there is a good chance they'll use it in some way, shape, or form later. It was too good to "waste". However, the motives for not releasing it have nothing to do with the whether or not the song was "ready" or "finished" and therefore the simple absence of the track on any released media does not dictate the nature of the track.
They could have put a live version of Mercy on the Saints CD.
Mercy was never played live.