You've beaten Mergo's Wet Nurse, and you return to the Hunter's Dream to find that the night and the hunt are coming to an end. Awesome! You're glad that you-wait, what did you do? You killed Mergo's Wet Nurse and that ended the hunt?
If you're not sure what transpired at the end of the Nightmare of Mensis, then you're in the same boat that I was. From what I gathered, Mergo was an infant Great One, a child of the Great One Oedon and the Pthumerian Queen Yharnam. I needed to find the nightmare newborn and "silence its harrowing cry". By slaying Mergo's Wet Nurse I did just that. But, to what end?
The paleblood moon seems be the catalyst for the hunts. When it appears, "the line between man and beast is blurred". The School of Mensis "[toils] surreptitiously in rituals to beckon the moon", and I don't think they're talking about your average moon. So Mensis is trying to beckon the paleblood moon to commune with the Great Ones. The Mensis ritual works, and they are granted audience with Mergo, but it goes badly for them and they are all killed. They aren't the only people being killed by their ritual though. The paleblood moon is out, and those who have imbibed the Old Blood are turning to beasts. So, as one note neatly puts it, "the Mensis ritual must be stopped, lest we all become beasts". Okay, so the Mensis Ritual must be stopped because it has beckoned the paleblood moon, so we need to stop it to end the hunt.
If Mergo needs to die to end the hunt, and the hunt ends by stopping the Mensis Ritual, then the transitive property tells us that killing Mergo will end the Mensis Ritual. This makes sense, as the School of Mensis was trying to commune with a Great One, so killing that Great One would end the conversation.
This puzzle is coming together nicely. but there might be a piece that just doesn't fit. As I stated above, the Great One Mergo is the child of Queen Yharnam and the Great One Oedon. I had noticed previously that Yharnam was covered in blood, which gave me pause about the success of her pregnancy, but the pieces fell together well otherwise, so I let it rest. Then I read the Paleblood Hunt, which makes a very good case for why Mergo is not alive. First, it says that "Queen Yharnam's childbirth did not go well. Judging from the massive amount of blood staining her stomach and the way she is found weeping in front of Mergo's Loft, we can only assume that the child did not survive the birthing process". I will interject here that the Yharnam Stone further supports this, as its illustration looks like a petrified fetus from a pregnancy that did not end well. I will jump back to the Paleblood Hunt, where it provides the kicker:
"If, after defeating Mergo's Wet Nurse, the Hunter opens the music box and allows it to play, a faint giggle from a baby will be heard, followed by silence.
Perhaps the baby likes the tune, or perhaps it was amused at the Hunter's attempt to understand or commune with it. After all, it is everywhere. The baby which we constantly seek has no form, no shape. It is a being that exists only as a voice, the voice of the Formless Great One, Oedon."
This theory, that Mergo is dead, and that the crying baby that dogs us throughout the game is actually Oedon, changes a lot. While there is room to debate for and against this theory, let's take a look at how this changes how we see the events that transpire in the Nightmare of Mensis.
For one, I think this brings a lot of clarity to why the School of Mensis was so utterly destroyed when they attempted to contact a dead Great One. The Paleblood puts it succintly, saying that "it is likely that the School of Mensis made a connection with Mergo by using his Umbilical Cord. But what they found was an eldritch concept of death so inconceivable that it resulted in the obliteration of their minds".
This does complicate my previous reasoning regarding how killing Mergo ends the Mensis Ritual because it ends the conversation. To that, I would argue that the retrieval of the Third of Umbilical Cord from Mergo's Wet Nurse could explain this. It is the item that granted Mensis and audience, so it makes sense that collecting it would also end the ritual. In this scenario it is not that you kill the person on the other end of the call, as much as you are taking away the phone.
This theory also helps explain something that killing Mergo would not explain. After defeating Mergo's Wet Nurse, the projection of Queen Yharnam bows and vanishes. I don't know about you, but if someone killed my kid I would not be bowing to them. Her reaction makes much more sense, however, if you have just retrieved a relic of her lost child. The Mensis Ritual opened up a connection to a Great One that never was, something that I can only assume would be painful for the mother, who already slumbers restlessly. I would put this forth as the reason that we hear the baby cries from Oedon. He also wants the Mensis Ritual to end and the connection created by the Cord of the Eye severed.
I think that both theories have their merits. Killing Mergo is tugs at that sense of tragedy that these games invoke so well, but Mergo being dead has that level of misdirection that I also really appreciate. Personally I lean toward believing in the theory that Mergo is dead, and that retrieving the Third of Umbilical Cord ends the Mensis Ritual, letting the paleblood moon withdraw and ending the hunt. I just like how it fits a little bit more with the available information.
But I'm really hoping that what I've written is just the beginning of a conversation. I'm curious to hear other thoughts and opinions. Leave your thoughts in a comment here. I will also be posting this on r/bloodborne and Tumblr.