Hey,
You can still buy mercury thermometers, but they are rare now as they are bad for the environment if broken or not disposed of perperly. The red ones are filled with dyed alcohol.
Lead is also a heavy metal and very bad for mother nature if just spread around. And like mercury, it is very bad for us if inside our bodies. Any-hoo, the balls are some other dense metal (as mercury is liquid at room temperature), either iron or a steel of some sort. They have atleast some iron in them as they were attracted to a magnet. ( Iron, nickel, and cobalt are the most common magnetic metals - so if it was lead, it would not have stuck to your magnet)
I don't think you have anything to worry about.
Hope this helps.
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Have a good one!
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