Can you choose to do nothing with an order card?
I assume you can - ie "I move zero troops" or "I spend no money". This is unlikely in the case of human players, but may be quite important for mercenaries...
On an aside, I assume the 'king me' effect does nothing for mercenaries.
I would say you don't have to do anything if you dont want to
If you are playing with missions then you would have to pick a mission for mercenaries to try and accomplish if you played King Me.