The problem here is the over-simplified (and inaccurate) idea that Thiomersal = mercury, it's not, rather it is a compound (chemical formula: C9H9HgNaO2S) that has mercury atoms in it's molecules, the mercury vapors (Hg) are a different thing, chemically speaking.
This means that mercury and Thiomersal will behave very differently in chemical terms, Thiomersal is metabolised by the body into ethylmercury (C2H5Hg+) which is eliminated from both the body and the brain relatively quickly and does not bioaccumulate. Unlikle methylmercury (CH3Hg+) which is the organic mecury formed from inorganic mercury sources such as the aforementioned mercury vapors or ingesting liquid mercury) which stays in the body up to five times longer (offering significant opportunity for bioaccumulation in the food chain - most human exposure to methylmercury comes from eating fish such as swordfish, big-eye tuna and king mackerel).
While Thiomersal itself can be quite toxic itself (which of course is exactly why it works so well as a preservative) as the old axiom states "the dose maketh the poison" and you need much higher doses that what is contained in vaccines to create adverse health effects in humans. And with the fact that it is eliminated completely from the body and doesn't bioaccumulate it's not a case that you need to worry about any cumulative effects.
The removal of Thiomersal from childhood vaccines (it's still in single-vial forms of some flu vaccines) in the US/Europe (some other countries still use the variant of MMR that contains Thiomersal) was prompted (at least in part) by a mistaken presumption that ethylmercury would behave in the body in the same way that methylmercury does. Which we now know not to be the case.
If you were to inject elemental mercury, then you'd be in the same situation as breathing in the vapors - even small doses can be dangerous because it metabolizes in to methylmercury and bioaccumulates.
NB: On a related note the distinction between ethyl- and methylmercury is what makes the chelation therapy some quacks/scam artists prescribe for autism to be doubly ineffective (not to mention it's potentially lethal effects!) because not only is autism not caused by mercury-poisoning but the mercury they are trying to chelate out is no longer even in the body in the first place!