(and certainly the tokens in your supply)
The mercenaries tokens are separate grey tokens rather than the regular player army tokens - I'm pretty sure you don't have to have them "in your supply" as such, since there's no specified way to take them into your supply.
(It does lead to the question of what you do if your mercenaries are still on the board when you draw the card again and play it. Do you remove the previously-played mercenaries from whichever war they were taking part in in order to move them to a new location? Do you use two other tokens? I'm guessing you move the specific mercenary tokens, and it hasn't come up in one of my games yet...)