The origin of the title Our Lady of Mercy goes back to St Peter Nolasco, a nobleman born in Languedoc around 1189. At the age of 25 he took a vow of chastity and gave his estates to the Church. He was moved to do something about the plight of Christian captives held by Moors, and founded the Order of Mercy. He had a vision of the Blessed Virgin, as did his Confessor Raymund of Pennafort, and King James of Aragon. The Virgin blessed their work and bade them continue with their plans. Pope Gregory IX established the Order of Mercy. The Order spread rapidly and impressed many by the piety and charity of its members, who collected alms for the ransoming of captives, and even sometimes gave themselves up to voluntary slavery to aid the good work. The feast day of Our Lady of Mercy, also known as Our Lady of Ransom, is celebrated on 24th September.
Read more about Our Lady of Mercy here