In the novel Of Mice and Men, John Steinbeck has one main character, George, kill the other important character, Lennie, in a mercy killing in order to prevent a lynch mob from killing Lennie.
Your first sentence in the essay should be an introductory sentence, not your thesis. You can introduce the book, the author and your idea of mercy killing.
Your thesis statement usually comes at the end of the introductory paragraph and clearly states your position or idea about mercy killing. Use your thesis statement to show the topics of your three body paragraphs as you see mercy killing represented in the novel.
I'm going to assume that this is a persuasive essay and that you need a thesis statement for a persuasive idea. You must decide what your position is and then look for evidence in the novel to prove your thesis. The thesis statement is the controlling sentence for your body paragraphs. You could write what your position is: in your opinion, mercy killing is always wrong because it is killing, because you don't believe that it is merciful and your political beliefs argue that mercy killing is wrongful encroachment of the law.
If necessary, write the body paragraphs first and then the thesis statement as you will know what you will be introducing. Do this backwards method ONLY if you get really stuck with the statement.