The [WotC] Overwatch Mercy Squadmate cosmetic mod adds a very convincing Mercy facsimile to XCOM 2: War of the Chosen with custom colours and wing variants. In the name of authenticity, "this mod adds Switzerland; Mercy's country of origin."

Check the description section of the Steam Workshop page linked above for a choice of downloads and some recommended mods that help Mercy to work smoothly. Missing Packages Fix + Resource sounds like an essential one, while the Mercy Voice Pack ought to be a fun addition.

It's a purely cosmetic mod, so don't expect the mod to add any of Mercy's abilities into the game. It looks good though. Check out a few of the colour variants below.