This will still count towards GNP as it would be counted as US export to Korea. GNP is given by:
$$GNP=C+I+G+X-M + NFI$$
Where $C$ is consumption , $I$ investment l, $G$ government spending, $X-M$ are net exports an NFI is a net factor income, that is factor income of foreign residents minus factor income of non-residents (eg see the definition in Todaro & Smith, 2011. Economic Development 12th ed).
As explained above the exports themself would still be counted toward GNP, with a caveat that if the person who sold you the Mercedes is not considered a resident of the US, the value of the Mercedes would be subtracted via $NFI$. However, in that case it would still not count toward Japanese GNP if the non resident who sold you the car wasn’t from Japan. Where the loan originated is irrelevant here. Only if that seller was Japanese resident it would count.
Additionally if the seller of the Mercedes would be resident of Korea, you would actually contribute to the Korean GNP, since that would increase NIF of Korea.