The density of mercury (13593 (kg)/m^3)(13593kgm3) is much more than that of ethanol(789(kg)/m^3)(789kgm3) and water (1000 (kg)/m^3)(1000kgm3). What this means is that height of mercury required to produce a given pressure is much less than the height of a column of water or ethanol.
Let's do a simple calculation to illustrate the point.
The pressure a manometer normally measures is of the order of atmospheres. 1 atmosphere = 10^5Pa1atmosphere=105Pa in SI units.
Now, dgh = Pdgh=P => h=P/(dg)⇒h=Pdg where
PP = pressure
dd = density of material used
gg = acceleration due to gravity. Let us take it as 10m/s^210ms2 for simplicity.
h h = height of column
therefore height of mercury column required to produce/measure a pressure of 1atm = 10^5Pa is:-
100000/(13593*10) approx 0.735m = color(red)(73.5 cm)
Similarly height of water column for 1atm = 10^5Pa is:-
100000/(1000*10) = 10m = color(red)(1000cm)
and for ethanol is:-
100000/(789*10) approx 12.67m = color(red)(1267cm)
Now you can easily see that the height of mercury column required i.e. 73.5 cm is much more feasible to use than heights of 1000cm or 1267cm.