But the reason Mercury isn’t hotter than Venus despite how close the Sun is to Mercury is that, unlike Venus, Mercury lacks an atmosphere, and an atmosphere traps and hold heat. Meaning, the heat Mercury get directly from the Sun, is promptly lost back into space.

So that's why Venus is hotter than Mercury. It's because of Mercury's absence of having an atmosphere of it's own. I've learned something great today thanks to @agbona.