I don't see the point of the exercise. Perhaps there is some increase in terminal performance, but whats the point? If you were ever to use them in self defense, you would be screwed. Essentially, the bullets would be injecting a toxic substance into the person being shot. This goes far beyond "stopping the threat", with little or no ballistic benfit. (I will retract this statement upon confirmation of superior balistic performance).
Imagine going to trial for shooting a burgler. The police medical examiner finds that the wounds stopped the threat, and the burgler would have recovered, but he died as a result of mercury poisoning. Most would probably think "Big deal. Asshole had it coming" But killing is not the objective in self defense situations. Good luck convincing the jury about superior balistics...
Furthermore, adding a very dense liquid to a bullet would most likely introduce instability and greatly affect accuracy of the round, which would probably more than counteract any improvements in terminal ballistics.
Just my .02