It's never been included yet in any of Mercy's Animated or TV appearances. But in the Comics (at least Pre-Flashpoint) she (and the short lived character of Hope) are Amazons. This was first strongly hinted at in Secret Files: President Luthor and confirmed in Justice League: Cry for Justice.
I'd speculated on this being relevant to this movie well before it was known if Mercy would even appear, just from knowing Wonder Woman would be in it. Now since the Actress playing Mercy is the same age as Gal Gadot, I'm thinking that supports them being perhaps counterparts to each other.
In all likely hood she is not a Themiscirian Amazon. DC Comics does have at least one other Amazon tribe. Bana-Mighdall, it's location has inconsistently been refereed to as either Africa or the Middle East.
For this film a set for an African looking city was built. They were originally supposed to film in Africa but the Ebola scare scrapped that plan. The City was still built in an African style. It has been speculated to be Themiscyria, but Gal Gadot's costume implies that her Amazon tribe is Greek in atheistic as usual. I'm thinking maybe that city is Bana-Mighdall.
Artemis, who was Daina's temporary 90s Anti-Hero replacement was also from Bana-Mighdall in origin. The Bana-Mighdall Amazons do not share the Immortality of the Themsicyrian Amazons, which is one of the main reasons Mercy is more likely to descend from them. I wonder if there is a tall Blond woman in the cast who's role isn't known yet who could possibly be Artemis?