Apparently alias and try_files don't work together. However, I don't think you need to use alias.

location /mr {
  default_type "text/html";
  try_files  /fullpath/$uri /fullpath/$uri.html /fullpath/$uri/index.html  /fullpath/index.html;
}

Which would try:

• Exact file.
• File with .html added.
• Index in the path.
• Default index.

I think the root directive does work with try files but am unable to test.

server{
    location /mr {

        root /home/mysite/fullpath;

        default_type "text/html";
        try_files  $uri $uri.html $uri/index.html index.html;
    }
}