But sympathy is a much more natural fit because it does rhyme He uses an ay vowel, which fits with the ay vowels in day and bay
Not really. It's a pseudo-rhyme at best ("ee" and "ay," even though James does play around with it bit, like you said). Whether it rhymes or not is not really relevant anyway. Lyrics don't have to rhyme, they just need to have the right flow, accent, percussive value, etc. In this regard "mercy fuck" works just as fine. If MP wanted it to rhyme, he would have made it rhyme perfectly (like he made "day" rhyme with "day" so many times in The Best of Times).
If you look at the entire section:
I'm sick of all
You hypocrites
Holding me at bay
And I don't need
Your sympathy
To get me through the day
Seasons change
and so can I
Hold on Boy
No time to cry
Untie these strings
I'm climbing down
I won't let them push me awayMost of it doesn't rhyme, only the parts in bold are clear rhymes. Regardless, you can argue that "sympathy" fits better for many reasons, and I'd probably agree, but rhyming isn't one of those reasons.