Years ago when I actually had time, I found an old report in the files at Eglin AFB (Armament Lab) that referred to a mercury filled bullet in 30-06 that could be fired against aircraft structure and the mercury would degrade the aluminum and cause structural failure. It was written like a concept piece and my recollection is that there was no indication that it was ever made. It was US Army (I think) and must have dated from about WWII. I made a copy and sent it to Woodin Labs in about 1980-1882 and may still have a copy around here but a lot has been dumped in the subsequent moves. Only mention of mercury filled rifle bullets I have seen.
I do have a 9x19mm with a mercury filled wooden bullet. A 16 round unmarked box (may have been only partially filled) was found in a storage area in Germany attributed to RWS. Many years ago the box apparently found it's way into a museum I'm told. Most of the rounds have found their way into collections. I have one, Woodin Lab has one and I know of one in a very good German 9x19mm collection. I'm sure there are others. One guess is that it was intended as a blank that would function in an automatic weapon without any adaptor. Seems strange because the medical effects of mercury have been known for some time. The cases are unheadstamped. Perhaps they were intended for some other use. If someone has a more complete history of these rounds, please post it.
There is a 9x19mm round by the Valet Cartridge Co in Spoken Washington (long out of business) that is reputed to be a drilled out HP bullet filled with mercury and sealed with a black tip. May be true since the GM jacket on mine has discolored at the tip. I have no idea of the purpose of the load.
These are the only three mercury filled bullets I have heard of, but Valet may have made their load in other calibers.
Tony, Previous responders have the quote you provided pegged.