I’m not sure what the OP is asking, but if it’s along the lines of “Why can’t you see stars in photos of the sun,” or alternatively, “Is there stuff between the Sun and Mercury, and if so, why can’t we see it,” I believe that there is material between the Sun and Mercury (mostly stuff thrown off by the Sun - very light weight & having almost no drag on Mercury), but we can’t see it, because any reflection would be washed out by the Sun. It’s similar to a welder’s mask. Welding creates a huge amount of light. So a welder needs a very dark filter in order to avoid damage to his eyes. But anything not generating the same amount of light (e.g. a lightbulb, etc.) will be filtered out. So any reflected light between the Sun & Mercury (to use your example, I think) would be lost in the luminous “noise” of the Sun.
I hope this at least helps direct the OP…