So if you don't use gravitational slingshots (which can be modeled as ramming your spaceship into a planet's gravitational field and bouncing off in the other direction), then you need ~3x the delta-v to get to Mercury compared to the moon. And getting to the Moon required one of the most powerful rockets in human history.
In theory, you could just use a rocket that's 3x as powerful as the Saturn V to get enough fuel into orbit to get to Mercury via a direct route. But this runs into engineering issues with creating a rocket that big. Alternatively, you could develop a way to refuel rockets in orbit and then launch 3x Saturn Vs with one space probe and 2 fuel tanks. This is the plan for SpaceX where they will launch a Starship with humans/robots and a Starship with fuel to get enough fuel into orbit for a trip to various parts of the Solar System.
[edited to fix units]