Contrary to popular belief, going closer to the Sun is as much difficult as going further away from it. Orbits require energy to change them regardless which direction you want to do it. You can go to tables and see going to Mercury costs almost the same as going to Jupiter: https://en.wikipedia.org/wiki/Delta-v_budget
There are handy maps of Sol system if you are interested: https://forum.kerbalspaceprogram.com/index.php?/topic/131682...
You can of course minimize the energy even further using gravity assists, but this would require multi-year journey.
There is another trick when you want to go very close to the Sun, which is to go further away first, and then use much less energy to actually stop your orbital speed and fall however deep into Sun well you want. Unfortunately, Mercury is just far enough from the Sun to make it unprofitable and it also takes an awful amount of time to execute.