"There but for the grace of God go I," is not a Biblical text. It was a comment made by a John Bradford in the 16th century.  "There but for the grace of God, goes John Bradford", in reference to a group of prisoners being led to execution. Does John Bradbury attribute his escape to God's mercy upon Him, in other words God saved Him from execution or was he just lucky? Did he deserve to be executed and by some fluke was found not guilty? 
God's grace and God's mercy are not quite the same thing as those being led to the block might have attested to. Obviously they didn't experience God's favour in the same way as Bradford did  and were not saved from their awful fate but maybe they were granted His mercy in the next world.
It is all speculation.