No, as a sentence it is complete. Depending on the context we may a) have already been informed where Mary was or b) not be interested in exactly where Mary was.
A: Where are my keys?
B: (They are) where you left them
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A: When I came back the dog was where I left it. Have you seen a more lazy animal?
She was sitting on the floor when I went shopping. When I came back I saw Mary where I had left her.
If, however, you want people to know where Mary was then you have to write it (before using the "where he had left her")