Sound is carried by acoustic vibrations. When you hear music from a stringed instrument, the sound comes from molecules (mostly Nitrogen and Oxygen) being forced into motion when the vibrating strings (or sound board) hit them, and then those atoms recoil off of other molecules, and progressing at about 700 miles an hour away from the string.
On Mercury, there is a very thin atmosphere, and sound waves can happen there, but they would carry a lot less energy, and not be something your human ear could detect.
Concerning the "sounds of space", these are usually radio signals that have been translated into the acoustic spectrum. They aren't actually sound waves that you'd hear if you were there.
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