J., Congrats on your pregnancy! Whether there is mercury in the vaccine you recieved depends on what brand your OB's office uses. You can ask them for the vaccine insert to find out what's in the mixture.
I don't know a lot about the risk of flu or mercury to pregnant moms or unborn babies, but if you have the same questions about vaccinating your children, check out Dr. Sears Vaccine Book. He interprets the vaccine brand inserts, and discusses the pros and cons and controversies about each vaccine, and the risks associated with the disease. The book has really helped me ask the right questions at my kids' doc appointments. We also deal with allergies, so it helps with that as well.
No one in our family gets the flu shot. The rest of my family had the flu when our son was 2 weeks old, and neither he nor I got sick. Then I got strep throat and pneumonia when I was 4 months postpartum, and the baby didn't even have a runny nose. For flu, serious complications are very unlikely for babies, particularly if your baby will be exclusively breastfed and not in day care.