Mercury is closest to the sun, this is true. However, because of its proximity to the sun it lacks an atmosphere. Mercury's gaseous molecules reached escape velocity long ago and the atmosphere was 'burned off' leaving a vacant wasteland of rock with a similar surface to the earth's moon. There is nothing to hold in solar radiation, thus is flies out into space.
Venus is a different story. Its atmosphere is primarily composed of carbon dioxide - the primary green house gas -, which acts like a one-way door. The solar heat enters, but it cannot leave. Thus, an oven is created. This is why Venus has no water. Pictures suggest that Venus once had an aqueous environment, but because of climatic changes and intense heat.... it evaporated