I am not overly concerned about the consumption of the mercury in the thermometer. It is the mercury vapors that are expelled once released, amount, and length of exposure to them that causes the most harm. A one time consumption of this mercury from a thermometer isn't going to cause the side effects that one would see if he had consumed more or inhaled more.
My bigger concern is the glass that the dog has consumed. Thermometers nowadays are not made with mercury because they have learned of its toxic effects. So, if this was a digital thermometer or a recently purchased thermometer then it is unlikely there was any mercury present. If you had the thermometer for many many years then it is possible there was mercury present and if you actually saw the beads of mercury then of course it was there. If he did in fact eat and swallow glass then you need to feed him 3 pieces of white bread or his own dry dog food to help coat any pieces of glass. Monitor him for vomiting and diarrhea or blood in the stool. If any of these become present within the next 2-3 days I suggest a trip to the vet to make sure the glass has not cut his intestines.
Please let me know if further assistance is needed.