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Some indeed do contain mercury, like type 83 and 866 rectifiers. However, you won't find 866s in a guitar map, and I think only a very few rare examples used the 83.
Mercury is a metal and is liquid at room temo, In a tube, with the heat, it would quickly evaporate into a gas and ionize the innards, causing shorts, the tube would not turn off and all sorts of mayhem. Yes, some tubes do use it and were designed for it, but I think you may be hard pressed to find any in your common 12AX7 or 6L6.
With that said, yes there are some strange things in a tube, in very small quantities. I always just tossed dead ones in the trash, but I guess the environmental thing to do would be to take them somewhere that handles recycling or e-waste.