If you need to add Subversion bindings for your Mercurial, which was installed using ordinary installer (and not TortoiseHg), then the following script can help to put all files in place.
Unpack svn bindings, add all *.py files from svn/ and libsvn/ directories into the root of library.zip archive *with* these directories. Then call script with path to unpacked libsvn/. The script will generate some *.dll and *.py files in current directory. Put *.py into library.zip:/libsvn/ and *.dll into Mercurial installation directory. You may need to also copy libsvn_swig_py-1.dll into Mercurial dir.
The script can be tuned to insert C extensions to any py2exe distribution compiled with bundle_files=3