She was the daughter of the Infante Carlos de Borbon-Dos Sicilias y Borbon-Dos Sicilias and Princess Louise Françoise of Orléans and Orléans. Her siblings were:
1) Infante Don Carlos de Borbon y Orléans (1908-1936); he died un married. He was killed during the Spanish Civil War.
2) maria de los Dolores de Borbon y Orléans (1909-1996) married Prince Joseph-August Czartoryski and left issue.
3)The Countess herself (1910-2000). I remember that when she died, on january 2nd 2000 in Lanzarote (Canary Islands) she was often called (albeit a mistake as a result of poor quality journalist research) and Mercedes de Borbon y Battenberg and even Mercedes de Borbon y Borbon, which were her husband's and her children's surnames (although you might consider the Orléans as Bourbons too).
4) maria de la Esperanza (1914) married the Brazilian Prince in 1944. She's still alive.
Mercedes' father had been previously married to Alfonso XIII of Spain's eldest sister, the Princess of Asturias (1880-1904) who died in childbirth. Here are their children (consequently, Mercedes' half-siblings):
a)Alfonso de Borbon y Borbon, Duque of Calabria (1901-1964), he married a Princess of Parma and left issue.
b) Isabel Alfonsa de Borbon y Borbon (1904-1985), married the Count of Polish origin Jan Zamoyski. They had children.
Hope it helps!