When your mercs are killed, they will be sent over to the cryo-chamber, which is an offshoot of the "Squad" section. They can be revived, which will be free, but it will take a few hours to do. Until then you can complete missions with your newer (weaker) mercenaries until they revive, or just close the game until they are finally done. But they'll keep all of their rank-ups when they are revived.