Mercy is the orphan of two demons who were a part of a rebellion against God, they left her when she was born. She was born in Sheol -- a land between Purgatory, Heaven, and Hell, it is where those who fall through the cracks of Heaven and Hell reside. It is also the place where she grew up and lived a simple but problematic life as a demon girl (more specifically, a "devling"), until one day, while having a drink and arguing with an ex-boyfriend at Devil's Due pub in downtown Sheol, she gets visited by Mr. Suit.
Mr. Suit is an enormous demon who enlists her on a mission to go to Earth (a place Mercy believes to be fictional) and hunt down rogue angels. According to him, these instructions come directly from God himself. Not buying it, a belligerent Mercy got knocked out cold by Mr. Suit -- and woke up the next day on Earth. Believing it to be a dream, she looks in the mirror and is shocked to find that she now possesses an alternative form, that of a human being.
When we next see Mercy, she has been on Earth for some time doing Heaven's dirty work, and has been paired up by a genius gadgeteer metalhead, a human, who goes by the name of Hank. Mercy goes on another mission to hunt down a "Muse," the most common and easiest to find among all angels. After finding her prey in one of the clubs and causing a scene, Mercy and the angel named Serendipity both get thrown out of the club and square off in an alley, wherein Mercy beats Serendipity by removing her halo and knocking her unconscious. Unknown to Mercy, while she was fighting Serendipity outside the club, another angel was watching them who turns out to be the waitress at that very same bar. She attacks Mercy, but is taken down by the devling's "Hellfire Zippo."
Later on, Mercy returns home, but is visited by Mr. Suit who tells her to hunt down another angel -- this time it is one far stronger than those she is used to fighting. He also tells her that if she is no longer effective and not deemed necessary, he has the right to eliminate her.
Mercy continues her mission and finds her target, an angel named Elysa. They fight inside a tall building downtown, and Elysa grabs the upper hand in the fight when suddenly Mercy throws herself onto Cybile and knocks them both out of the window, causing them both to fall down to the streets below. Unfortunately, Elysa flies away and luckily for Mercy, she had her tail wrapped around a street light, which saved her life. After she gets down, she tracks down Elysa and finds her partying in a club. Mercy proceeds to set up a trap on the rooftop when the police suddenly arrive and do a raid of the club. The people partying downstairs panic, causing one man to run onto the roof and trigger Mercy's trap, wasting it. Unknown to Mercy, Elysa was following that guy through the back door, and when she finds Mercy, the two engage in battle. When it looks like Elysa has the upper hand, Mercy gets her pumped up and she loses her composure, which causes her wings to be shot by her own guns. She tries to run away when Hank arrives to aid Mercy and uses heavy metal music to distract Elysa, which helps Mercy take off her halo -- thus defeating her.
Mercy visits one of her employers Jeremiah, and he informs her that she will finally be baptized so she can finally go into heaven. Confused and shocked she leaves and goes to a bar somewhere in the city to get a drink, when she enters the bar she gets warped into a different dimension by a powerful being, an angel named Nahmat. Nahmat informs her that everything she has done was not the will of heaven but in fact she was just being used by someone else, and she suggests that Mercy cleans up her own mess. After getting her bearings straight, Mercy tries calling Hank to see if she can still trust him while on the road on her bike when suddenly she gets rammed into a wall by a huge van driven by an angel named Cybile who is out for revenge for her angel friends whom Mercy has taken down. Mercy tries to escape thru the subway but Cybile catches up and beats her up, not putting up much of a fight Mercy gets battered until Hank arrives and uses a new gadget that he concocted and knocks Cybile unconscious. They both bring Cybile with them back to their pad and enlist the help of Wallace a child who is in fact really and old man who got stuck in that form because he meddled with his grandmother's occult relics when he was a young boy. They ask him to summon Mr. Suit which he does. After he is summoned Mercy and Cybile explain to him how they were all being used by Jeremiah and that Jeremiah really is Sandolphon another angel who is harvesting pure souls by parading as a priest. Mr. Suit then tells them to summon him back inside Jeremiah's church for a counterattack.
When Mercy and her team arrive at the church, Hank hides in a corner to summon Mr. Suit while Mercy takes Jeremiah's attention. After Hank summons Mr. Suit, Mr. Suit attacks Jeremiah and exposes his real form, they battle but Mr. Suit is overpowered and Cybile runs to his aid but she gets herself killed leaving Mercy alone to fight Sandolphon. Mr. Suit, weakening because the spell that binds him to earth is weakening tells Mercy to use all the halos that she has taken away from all the angels she has beaten, which she does and summons Lucifer's spirit into her body and fights Sandolphon easily killing him by ripping out his halo.
After that incident Mercy goes to see Nahmat and asks if she can now return to Sheol in which she replies that she will not be able to go home because heaven has decided that she stay on earth to do their dirty work.