There are no names for Mercury's moons because the planet does not have any moons. The only other planet that has no moons is Venus.
A planet's moon is a naturally occurring satellite that rotates around that planet. As of June 2014, there are 146 moons in the solar system that have been confirmed, while confirmation on others is pending. This count does not take into consideration the moons of the dwarf planets. Earth has one moon, while Jupiter and Saturn have 50 (with 17 more in the confirmation process) and 53 (with nine waiting for confirmation) moons respectively. The largest known moon, Ganymede, belongs to Jupiter