Mercury had an original Atmosphere a bit after the world had formed 4.6 billion years ago.
Mercury has a weaker gravity than earth and cant holds the gas with a weaker force.
Because mercury is closer to the sun the solar winds has blown the gas away.
Mercury Is more than twice as close to the sun as if and it is a about 5 percent the size of earth.
The hottest degrees mercury can get do is 430 degrees. And the lowest temperature is negative 180.
If you didn't know, Mercury is made up of Hydrogen, Helium , Oxygen ,Sodium.