There is symbolism to this too. Mercury is holding Aneeza's body from the sun, where she floats. This is as close as she can get to it without burning.
She is essentially holding the hand of each celestial god, as she Light-jumps between Lagrange points from Sun-Mercury, to Mercury, Mercury-Venus, Venus orbit, and so on... (She could do a direct one from Mercury, but that would take a lot more practice- and a little risky.)
Such acts would probably not be unnoticed to the gods, and hence why I always thought of Aneeza as being at least within Mercury's notice having a power similar to his (Travel), but unable to speak anything but the Alien language.
Now I don't know if I am pushing Aneeza's power to the preposterous, but I have a few ideas for her later if I ever get to writing them.