Answer:
Giant impacts in its early history may have torn away much of its original crust and mantle.
So Mercury has a giant iron core, but why?
There are three general ideas.
1. Mercury was once the core of a gas giant that vaporized when the Sun became a fully-fledged star. This gas giant was probably more like Uranus or Neptune than Jupiter or Saturn.
There are significant issues here, especially that Mercury's existing surface has been exposed to space since the solar system's initial beginnings. On Mercury, remnants of the first massive bombardment have been found.
2. Mercury formerly had a deeper mantle and was a bigger terrestrial planet. During the early history of the solar system, a dwarf planet made a massive impact that robbed the planet of its mantle.
The existing surface of Mercury has been exposed to space since the very beginning of the solar system, which raises major issues once more.
Due to the factors in explanation 1, characteristics from the first significant bombardment have been found on Mercury. The quantity of low temperature volatiles that are trapped and sometimes sublimate out of the crust, causing hollows, is also a major issue. By such an impact, these low temperature volatiles—such as sodium, sulphur, magnesium, etc.—would have been completely pushed out.
3. A mostly iron-rich body developed, and "rock steam"—a gaseous mixture of atomic oxygen and silica—condensed and accreted onto it from the protoplanetary disk near the Sun. Small rock particles with lower temperature volatiles were subsequently formed into a crust. Additionally, it appears that iron was concentrated in the inner region of the protoplanetary disk by the Sun's early, extremely powerful magnetosphere.
Whilst there are a few minor issues with this, this appears by far the most likely scenario.
