Mercury is designed to accept all valid mail addressed to valid local users, as that is what a mail server should do.
In your special case you could use an SMTP transaction filter (Config - MercS - Compliance)
This line added to "Transflt.mer" should work (not tested YMMV)
M, "*@yourdomain*", B-N, "554 Private Server - Go Away!"
Means - check MAIL FROM command, for "match string", and (B) issue an error response then drop the connection immediately - (N) for NON-MATCHING transactions, "error response string"