Yes, mercury naturally occurs in some fossil fuels like coal, and burning it releases the mercury in the air.

I'm not familiar with the specific technologies used to control mercury emissions, but there are ongoing battles between power plants and health/environmental advocates to enforce stricter emissions standards. The older coal-fired power plants are the worst offenders, and of course they are fighting tooth and nail to prevent stricter standards, as that would entail costs on their part.

Another typical battle between monied interests and human health . . .