How to name Hg[Co(SCN)4]?
TL;DR: There is no inner- or outer coordination spheres in this complex. Both cobalt(II) and mercury(II) have nearly ideal tetrahedral coordination environment with $4$ $\ce{N}$ and $4$ $\ce{S}$ atoms, respectively, hence the proper name would be cobalt(II) mercury(II) tetrathiocyanate. Mercury(I) readily undergoes disproportionation, so assuming mercury(II) is the safest option. 



Actually, denoting an inner coordination sphere is not correct for this compound. First crystal structure [1] has been assigned to cobalt(II) tetrathiocyanatomercurate(II) $\ce{Co[Hg(SCN)4]}$:


  It appears reasonably certain that the $\ce{S}$ atom is attached to the $\ce{Hg}$ in tetrahedral co-ordination, with $\ce{S-Hg-S}$ angles of 120° and 104°.
  
  


But two decades later the structure has been refined again, by the group including the author of the original publication. This time the geometry has been established more precisely (ICSD#36062), and it turned out that there is an infinite network of $\ce{Co^2+}$ and $\ce{Hg^2+}$ cations cross-linked via thiocyanate ligands, and the new suggested name was cobalt mercury thiocyanate $\ce{Co(SCN)4Hg}$ [2]:




  The combination of two tetrahedrally coordinated atoms, $\ce{Hg}$ and 
  $\ce{Co}$, has produced a most unusual arrangement in which the $\ce{Hg}$ and $\ce{Co}$ atoms are held apart by four spirals, each containing $4$ $\ce{SCN}$ bridges, which are interlinked so that any one $\ce{SCN}$ bridge takes part 
  in eight spirals.
  
  [...] Each such spiral is a spring holding the $\ce{Hg}$ and $\ce{Co}$ atoms apart and straining the bonds in the process. It is almost certainly this strain which flattens the tetrahedral coordination round $\ce{Hg}$ and $\ce{Co}$ in the $c$ direction. If the arrangement could be reproduced mechanically it would probably provide the ideal spring mattress! 


References


Jeffery, J. W. Nature 1947, 159 (4044), 610. DOI: 10.1038/159610a0.  
Jeffery, J. W.; Rose, K. M. Acta Cryst B 1968, 24 (5), 653–662. DOI: 10.1107/S0567740868002980.