I remember hearing about somebody working on something like this where they were using a compound or polymer gel that would be liquid in one state and quickly harden in another. I don't remember the details. I'm probably wrong but I think it was called a kinetic fluid. I believe it was Hector Medina who was mentioning it. He's likely your go to person if you want to know more. Here's a research article that's seems like its talking about the physics of this kind of thing:
High-velocity impact of solid objects on Non-Newtonian Fluids
https://www.nature.com/articles/s41598-018-37543-1 Iow, its a fluid but, if you impact it with enough energy, it acts like a solid. You don't need mercury.