None of them are circular. They are ALL ellipses - almost circles but not quite.
Are you thinking of the precession of Mercury's perihelion? The point at which Mercury is closest to the Sun (its perihelion) moves round gradually (it precesses), and this is due to it being so close to the Sun and the strength of the Sun's gravity that close. It took Einstein to explain this, in his theory of general relativity, and the fact that general relativity actually DOES explain it is well known to physicists as an early proof that Einstein got it right.
General relativity is the theory that adds in gravity to special relativity, and shows that it isn't a force, it's a bending of space-time close to massive objects that LOOKS like a force pulling them in. Where all the other planets are, space-time is relatively "flat", but closer to the Sun where Mercury is, it's more bent and that causes the effect.