Mercury should have trouble hanging on to its atmosphere. It is the closest planet to the sun , its searing daytime temperatures top 800 degrees Fahrenheit (450 degrees Celsius and its gravity is weak, only about 38 percent of Earth's. These conditions don't hold air.
New clues to why Mercury does have a thin atmosphere have been discovered by the MESSENGER spacecraft.
http://www.space.com/missionlaunches/090608-mm-mercury-tornadoes.html