Anyone have any idea who sells them? I love the Mercy but cant use it since I dont have much 40mm's.

This should really be in Cheats/Hints/Spoilers.

But I will give you a very subtle and cryptic hint:

Find the men who share a bed.....

For the most part, they're going to be found on random merchants... and more common as you get closer to level 30 then early on. I've been stockpiling, buying every single round I can get my hands on (40mm Incendiary seems to be extra-rare) to save up for the last few levels.