A planet as small and as hot as Mercury has no possibility of retaining a significant atmosphere, if it ever

had one. To be sure, Mercury’s surface pressure is less than one-trillionth that of Earth. Nevertheless,
the traces of atmospheric components that have been detected have provided clues about interesting
planetary processes. Mariner 10 found small amounts of atomic helium and even smaller amounts of
atomic hydrogen near Mercury’s surface. These atoms are mostly derived from the solar wind—the flow
of charged particles from the Sun that expands outward through the solar system—and remain near
Mercury’s surface for very short times, perhaps only hours, before escaping the planet. Mariner also
detected atomic oxygen, which, along with sodium, potassium, and calcium, discovered subsequently in
telescopic observations, is probably derived from Mercury’s surface soils or impacting meteoroids and
ejected into the atmosphere either by the impacts or by bombardment of solar wind particles. The
atmospheric gases tend to accumulate on Mercury’s nightside but are dissipated by the brilliant morning
sunlight.

(Source: britannica.com)