Since sapphire is already 100% aluminium oxide, but arranged in a crystal lattice I think it should be stable in contact with mercury unless the mercury disrupts the lattice (a possibility--my physical chemistry is weak).
If you know how to do it safely,go for it!
Another comment is sulfur is cheap and widely available at garden stores etc and cinnabar toxicity is greatly exaggerated, because historically anyone who mined it, smelted it, and the smelting is a very effective way to get killed just by being nearby. I wouldn't eat it intentionally, etc, but after sulfur neutralization its mostly harmless. Its a much lower vapor pressure and relatively stable compound compared to elemental Hg.
And it'll amalgamate with gold jewelry, if I recall. I'm old enough to have played with Hg bare handed as a kid. Its kind of like gunpowder, respect it and you'll be safe, make a habit in your life of doing dumb things and nothing is ever safe.