The London Daily Mail says the pop icon, 50, who arrived in London from Malawi on Sunday, was "devastated and shaking" over departing without the tot.
"I can't believe I'm leaving my beautiful baby behind," she's quoted as telling staffers. "It's not right. I love that baby girl She's my little girl -- she needs to be with me."
Madonna also purportedly instructed her lawyer, who is appealing the ruling, to "do whatever you can to get me my Mercy. I can't imagine her going back to the orphanage."
Also said to be struggling with the adoption denial is Madonna's oldest child, Lourdes, 12, who accompanied her mom on the mission for Mercy with her Malawian-born brother, David, 3.
People magazine reports that Annie Chikhwaza, the director of the Kondanani Children's Village, arrived at Madonna's luxury lodgings on Sunday morning to pick up Mercy and return her to the orphanage.
"Madonna spent some time with Mercy," relays an insider. "She looked sad but Lourdes, who had clicked with the little girl, looked devastated."
Saddest of all, Mercy was said to be inconsolable by the famous family's exit from the country.
"It's devastating for Mercy," Chikhwaza tells the London Sun. "She had bonded with her new family and was calling for Madonna, saying, 'Where is my Mummy?'"
She adds that the tyke "couldn't understand where Lola, David and Rocco had gone -- she thought they were playing hide and seek. It broke my heart to see her crying out for David as they'd become inseparable. Madonna said she will do whatever it takes to get her back."
But the superstar may be facing more complications now that a man has come forward to claim that he is Mercy's biological father.
James Kambewa, who works as a security guard, tells the London Sunday Mirror that he's willing to take a DNA test to prove paternity of Mercy.
"Discovering my daughter is alive is a miracle," says Kambewa, who thought she had died in childbirth with her mother. "I bear no grudge against Madonna. But I am Mercy's father and I want her to stay with me. God will take care of us."
One bright spot in all this, according to the Sun, is the support Madonna has received from ex-husband Guy Ritchie, who said in a statement last week that she's "a fantastic and loving mother."
"Madonna was incredibly touched," a source tells the tab. "He's been an unexpected source of strength."
The director was on hand to greet the family's private jet when it touched down in London, and while he was seen smiling wide as he toted David from the plane, he appeared to have little interaction with Madonna.
Next: Miley explains it all
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