It's not very common to see this sentence in full, translated in liturgy. The closest, most common, full translation I can think of would be:
Miserere nostri, Domine
E.g. in the Te Deum.
It is much more common to see the 'have mercy on us' (eleison) part translated as miserere nobis (e.g. in the Gloria), hence Domine, miserere nobis or miserere nobis Domine would also sound familiar and are pretty good translations.
- miserere means have mercy. This verb can be followed by either dative or genitive. It exists both as a deponent and non-deponent verb (in pre-classical Latin), though the former is more common in ecclesiastical Latin.
- nobis and nostri both mean [on] us, depending on a choice between dative or genitive for miserere
- Domine is the vocative of Dominus, Lord, as directly addressing Him.
A more literal translation like miserere, Domine is harder to find in liturgy, and I think it is because in Latin it is more idiomatic to have mercy on [something/someone] than to just have mercy. (I can't think of any instance of the complement being omitted.)