To be clear this is what we're trying to avoid. An easily typeable code like that can be typed into a phisher's website.

They could use a custom subdomain for this click tracking and "hide" the mailgun url from you, but we're finding that for some reason Mailgun doesn't just use a let's encrypt certificate, so some users will complain that the tracking links are "http" (and trigger a browser warning when clicked).

Anyway, even with click tracking disabled and links going straight to mercury.com, the security issue would remain the exact same (since Mailgun logs all outgoing email anyway).

But my understanding is that the contents of that email and its link do not provide "login" capability but "verification" capability. As such, a Mailgun employee accessing your data, or an attacker accessing your Mailgun logs, would only be able to "verify" a login that they had already initiated with your password AND your OTP —which means that's effectively a third hurdle for an attacker to breach, not a one-step jump into your account.