Tried my best to transcribe by ear. May not be correct in some parts.

 A                                  D                  A   E7
Have mercy, have mercy baby, have mercy, have mercy on me. 

 A                       D7   A                   E   
Well I went to see the gypsy, to have my fortune read.
          A                       D7
She said man, your baby's gonna leave you.
     E                            A
Her bags are packed up under the bed. I cried.

 A                                  D                  A  E7
Have mercy, have mercy baby, have mercy, have mercy on me.

A                       D7    A                  E
I said if you leave me baby, girl if you put me down.
      A                   D7               E                   A
I'm going to the nearest river child, and jump overboard and drown.

Don't leave me.

 A                                  D                  A
Have mercy, have mercy baby, have mercy, have mercy on me.

         Bm   A    Bm   A                      E
Well now hey baby, hey now, what you trying to do?
Bm   A    Bm   A   E
Hey baby, hey now, please don't say we're through.

       A            D7    A                           E
I said if you stay baby, I'll tell you what I'm gonna do.
           A              D7
I'm gonna work two jobs, seven days a week,
     E                      A
and bring my money home to you, well I said.

 A                                  D                  A
Have mercy, have mercy baby, have mercy, have mercy on me.

 A                                  D                  A
Have mercy, have mercy baby, have mercy, have mercy on me.