Some cars leave a paper trail; the Mercury My left a name, a year — 1990 — and a place in Mercury's list. What follows is what can be said with a source behind it. The shape is credited to J Mays.
Where it came from
The (my) mercury Concept (sometimes known as the Mercury My) is a concept car that was created by Mercury. The my mercury was first introduced at the 1999 North American International Auto Show. The my mercury was designed by J Mays, the same designer of the Volkswagen New Beetle. This might also explain why the my mercury's curved roofline resembles the New Beetle's. The assembly of the Mercury My concept car was made in Pretoria, South Africa.
In context
The cars a buyer would have weighed it against include the Ford Explorer, the Renault Clio, the Honda NSX. Nearby in the Mercury catalogue sit the Mercury Bobcat and the Mercury Capri.