I don't think any could live there but if they did they would probably have to live underground since it's either too hot (800 degrees F daytime) or too cold (-300 F nighttime) to be on the surface. And since Mercury is mostly made of heavier elements (mainly iron) then the critter would probably be made of the same stuff, kind of a metal person, a lump of ore. It wouldn't move much, just sit underground and wait for something better to happen.
This makes for another question: Mercury is closest to the sun, is a ball of metal, so it doesn't sound like there's a lot of organics (molecules of hydrogen, carbon and oxygen, plus other lighter elements). So I'm thinking that this alien would be like one of the clay people from the 1930's Flash Gordon shows, but made of iron somehow.