IT certainly is scriptural for a Christian to ask for mercy. The scripture you refer to, Hebrews 4:16,16Let us therefore come boldly unto the throne of grace, that we may obtain mercy, and find grace to help in time of need. (Hebrews 4:16) shows this, as also do such scriptures as 2 Timothy 1:2,2To Timothy, my dearly beloved son: Grace, mercy, and peace, from God the Father and Christ Jesus our Lord. (2 Timothy 1:2) and 16. Are we not all very conscious that we need the sovereign favor and help of God continually, and that without any thought of merit on our side?
There is no contradiction of any sort between the two scriptures that you cite. The point that is discussed in Romans 11, is the mystery of God’s dealings with Israel and the Gentiles. Until the rejection of Christ all God’s public dealings were confined to Israel, though here and there He showed mercy to individuals from among the Gentiles, as, for instance, Ruth and Naaman. Now, for the time being, Israel is set aside as being unbelieving, and mercy has been extended to the Gentiles, in sending forth to them the Gospel. Paul had been specially called for this work, as verse 13 of the chapter shows. The whole chapter deals with dispensational truth.
We must distinguish, then, between what is dispensational and what is purely personal. By reason of the change of dispensation mercy has been extended to the Gentile nations. As a result of that we, and an innumerable company from the Gentiles besides, have obtained mercy, even as Paul the Jew did. (1 Tim. 1:1313Who was before a blasphemer, and a persecutor, and injurious: but I obtained mercy, because I did it ignorantly in unbelief. (1 Timothy 1:13)). But even so, in a thousand details of daily life we need mercy from God. So let us come boldly to the throne of grace that we may get it.