Yes. It is possible that there could have been a red mercury device found during operation Nightshade. It is possible that this form of technology can exist in form of a weapon. It's whereabouts have been speculated, but some believe this bomb in is the hands of terrorists. I think it's more likely that the US has this weapon under wraps.
In what way could such a thing exist? Why would anyone think this could be realistic? Why? There's no possibly way whatsoever these things could ever exist, as they defy the very laws of reality itself. There's a reason such things are simply what they are: fantasies that can never really happen.
No, Red Mercury from operation code-named Nightshade does not exist. If it did exist, I am sure some scientist somewhere would be all over it. It was simply a movie and nothing like that exists out there that we are aware of. If stuff like this does start popping up, we could all be in trouble.