In his introduction to the index of volume X of The History of Middle-earth, Christopher Tolkien reports a series of notes in which his father seems to have laid down the names of the planets in Elvish. These notes give a list of Elvish names, each marked with a letter or abbreviation that ties it to a modern planet name (for example 'Jup.' for Alcarinque is unmistakably 'Jupiter'). Two of these names are marked with an 'M', Elemmírë and Carnil, and given that Carnil contains the Elvish word for 'red', we can safely associate that name with Mars, leaving us with Elemmírë as an identity of Mercury.
In apparent contrast to this idea, we have a passage in the Silmarillion that describes Eärendil's voyages among the skies, describing how his wife Elwing would at times fly up to meet him as he approached the world. Eärendil in this mythic context represents the shining planet Venus, so the sight of Elwing appearing nearby might be taken as an explanation of much fainter Mercury in the sky.
This account of Elwing could be seen as offering an alternative and potentially contradictory identity for Mercury in Tolkien's legendarium. It should be noted, though, that this passage only says that Elwing was visible to 'the far-sighted among the Elves that dwelt in the Lonely Isle' (Quenta Silmarillion 24, Of the Voyage of Eärendil and the War of Wrath). If Elwing could only be seen by Elves with their extraordinarily keen eyesight, and even then only from the relatively nearby Lonely Isle, then this would not offer a realistic explanation for the appearance of Mercury, even in a mythical sense.
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