I can not even give you a number of times people have suggested I take some of my mercury, put it inside a bullet and shoot it. This idea has been around for years and there are many speculations about what it can do.
First of all, mercury is denser than lead. It is also a liquid. In the several forums I have found a thread started discussing the mercury-bullet, there were many ideas and guesses what it would do. The fact mercury is poisonous was the topic in some postings. Honestly, lead is a toxic metal too and if one thought that it would give the person mercury poisoning, overlooks the fact that the lead bullet would give the person lead poisoning.
Because mercury is also a liquid, it was suggested it would cause the bullet to explode. I never read anyone's suggestion that mercury has a boiling point of 674 deg. F and the possibility that enough heat could be generated upon impact that the mercury would actually flash into a gas and increase in volume by many factors.
Unfortunately I would not use any mercury to prove or disprove anything simply because I try my best to keep the stuff contained and even a minute quantity released would not be good but would also make peoples' heads collectively explode in the process.
So let's get back to the vaporization of a liquid. What if we simply used water? Water has a boiling point of 212 deg. F, which is pretty low. When water is converted from a liquid to a gas, it has a crazy-large expansion ratio of 1:1600 or so. That is explosive.
Then I thought further. What about the dieseling-effect of a light oil that is suddenly compressed? What about an oil-filled bullet? Will it explode?
We'll see if these two rounds will have the effects that something like a mercury-filled bullet will have but isn't going to pollute the shooting range.
Don't try this at home kids.