The Jenny Lewis Museum Wiki
You may be looking for another similarly named Mercury venue.

The Mercury (also known as The Mercury Lounge) was a venue in Austin, Texas, located above Jazz's Cajun restaurant. It opened on New Year's Eve 1998 and in 2003 the name was changed to "The Parish" or "The Parish Room".

On March 12, 1999, the South by Southwest Film Festival opened with Morgan J. Freeman's movie Desert Blue, which contained three Rilo Kiley songs. The after party for the screening was held at Jazz's upstairs venue, where Rilo Kiley and Cat Power performed songs from the soundtrack.