^ Not entirely sure, but our company manufactures a fish oil supplement, and I just asked our R&D manager what process it went through to remove mercury and he said "none" - the oil we buy is virtually mercury free by natural means because the fish it comes from and where it is caught in the deep sea. It's tested as being 80% below the legal TGA limit of mercury in fish oil, in other words, 80% below what we could have got away with - 1 part per million..
So maybe there is another option if you are worried about heat, some supplements are naturally mercury free. You may have to ring manufacturers to find this out though, I've been working at this company 5 years and even I thought our oil was filtered or distilled!