Mercury Mine was a supposedly scrapped level from Sonic CD. The level appears in an early prototype of Sonic CD called '409 Beta'. Mercury Mine zone is an incomplete, empty level. Selecting it in the beta will simply load a black screen where Sonic will instantly fall to his death at the bottom of the stage.
The '409 Beta' prototype turned out to be just a hoax alongside with Mercury Mine. The fake prototype was created by a user called Nemesis.