do one fuse control heat, inside lights and door locks?

It's very possible they share a circuit. It's best to look over all your fuses at this point. If they are all intact some electrical testing is needed. Use this link to find a good shop near you. https://repairpal.com/repair-shops Alex

This should help: https://www.autogenius.info/mercury-grand-marquis-2003-2011-fuse-box-diagram/