How is it possible for Mercury to have frozen ice ?
There is a slight possibility, just not on the surface. It is too close to the sun for it to have ice. However, in the core there might be some, most likely not.
There are some reasons how Mercury got its frozen ice. It is very possible for Planet Mercury to have frozen ice because it has no atmosphere which means, it can’t trap heat. As the said planet orbits the sun, some of its areas within deep craters do not receive direct sunlight. These cold areas have been steady for up to billions of years which allowed the earliest ice to be deposited and preserved despite the said planet’s proximity to the sun. The ice also may have been brought to the planet by some comets falling from the outer space of the solar system.