There was only one mercenary in the game with "Favorite Target: Walls". The Khamikazee would always attack a wall first if there is one present, if there are no wall left it will attack the next closest building. His explosion does AoE damage to the surroundings, damaging anything else that is close to the impact.
With the latest update the Khamikazee's behavior has been changed and now his "Favorite Target" is "Anything" instead of walls. The splash damage does still destroy nearby wall though.
The Siege Tower was introduced as a reward of the Plague Warriors event. This Siege Tower also has "Favorite Target:Defensive Buildings" and can also be considered as a Tower Destroyer even though it not a mercenary but a tower. The thing about this Siege Tower is that as secondary target it attacks anything that is close even walls. Which makes it also a Wall Destroyer, it also does AoE damage to surrounding build as a Khamikazee would do.