I don't think it is suggested that Mercutio actually believes in Queen Mab in this monologue that comes in Act I scene 4. He is deliberately using fanciful description, including puns and mockery and the allusion to Queen Mab to point towards the way in which dreams are not significant. The way that he describes her clearly places her in the realm of fantasy, and it is unlikely that such a character as Mercutio would actually beleive in such a real figure. Note how he describes Queen Mab:
She is the fairies' midwife, and she comes
In shape no bigger than an agate stone
On teh forfinger of an alderman,
Drawn with a team of little atomies
Over men's noses as they lie asleep...
Mercutio is alluding to common myths and beliefs that people had about Queen Mab, which of course helps him to communicate his main message to Romeo: that dreams should not be confused with reality, and that dreams, at the end of the day, are really "nothing" and but "children of an idle brain." Thus I think it is clear that Mercutio does not believe in Queen Mab.