An office is a location for which we use "at". One is "at the office", or "at Mercury". There's a real famous record company called "Mercury Records", and if one were to go there, one could say they were "at Mercury". Even though Mercury is a planet's name, one is not referring to the planet, so not "on Mercury". "On Mercury" always implies "on the surface of the planet Mercury".
We name based on the type of object, not its name. We go to the bar, even when that bar is called "Arthritis", for example. Normally, no one can "go to arthritis", but the place is a bar, and you can go to a bar, hence "go to 'Arthritis'".
The best way is to incude quotations around the name of the place, and through this method, one can avoid the confusion of offices named after planets, and just anything named after a weird thing in general.