Arya Stark's fake identity was derived from an unpublished chapter of Martin's upcoming book.
Martin's next book, 'The Winds of Winter," has yet to be published, but the author has released several preview chapters. One of these — released is 2013 — is titled "Mercy," and follows Arya on an assassination mission with a group of "mummers" (actors) while under the disguise of a girl named Mercy.
The show's adaptation is slightly different, and plays off this false name of Arya's even more. She shows mercy to Lady Crane, saving her life at the expense of her own safety.