To Mercy, Pity, Peace, and Love,
All pray in their distress,
And to these virtues of delight
Return their thankfulness.
‘Mercy, Pity, Peace, and Love’ are capitalized because they represent qualities inherent in God and an important element of human aspiration.  In Blake’s era religious belief was an important aspect of life, but often distorted by a powerful and punitive religious establishment. 
 The capitalisation of these virtues represents their significance. They also are repeated in the poem several times as Blake develops his argument.
The Divine Image Songs of Innocence