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The accretion of terrestrial planets is known to be accompanied with volatile loss due to strong solar winds produced by the young Sun and due to energetic impacts. It was previously expected that Mercury, the innermost planet is depleted in volatile elements in comparison to other terrestrial planets. These predictions have been recently challenged by the MESSENGER mission to Mercury that detected relatively high K/U and K/Th ratios on Mercury's surface, suggesting a volatile content similar to Earth and Mars. However previous studies showed that Fe-rich metals can incorporate substantial U, Th and K under reducing conditions and with high sulfur contents, which are two conditions relevant to Mercury. In order to quantify the fractionation of these heat-producing elements during core segregation, we determined experimentally their partition coefficients (Dmet/sil) between metal and silicate at varying pressure, temperature, oxygen fugacity and sulfur content. Our data confirm that U, Th, and K become more siderophile with decreasing fO2 and increasing sulfur content, with a stronger effect for U and Th in comparison to K. Hence Mercury's core is likely to have incorporated more U and Th than K, resulting in the elevated K/U and K/Th ratios measured on the surface. The bulk concentrations of U, Th, and K in terrestrial planets (Mercury, Venus, Earth and Mars) are calculated based on geochemical constraints on core-mantle differentiation. Significant amounts of U, Th and K are partitioned into the cores of Mercury, Venus and Earth, but much less into Mars' core. The resulting bulk planet K/U and K/Th correlate with the heliocentric distance, which suggests an overall volatile depletion in the inner Solar System. These results have important implications for internal heat production. The role of impact erosion on the evolution of Th/U ratio will also be addressed.