The current crop of Hornady rubbernose bullets is just the latest in a long history of gimmick bullets. If you can think of it, it has probably already been done. Yes, birdshot or steel BBs in hollowpoints, clear back to the Hoxie of 1907!
There was a bullet with a nose cavity filled with grease and swaged over so it looked like a softpoint, I think in the 1930s, but don't have the old ad any more.

Mercury? I doubt the Germans would have fooled with it much. Discussion of the faults of mercury in an old post at:
The Firing Line Forums - View Single Post - Gel or grease in a hollowpoint makes it expand reliably at all times...

Charles Newton designed a bullet with a wrap of paper between the jacket and core to insulate the core from barrel friction in his very high velocity rifles. He also put a steel pin down through the softnose to keep the lead from slumping at launch and to control expansion upon impact.

Explosive bullets? Sure, dozens of designs from the Jacobs forward.