Is it allowed to say "May Allah be merciful to him" for non-Muslim deads/livings?

I was told that it's not allowed to say "May Allah be merciful to him" رحمه الله for Non-Muslim deads. Well, while I know we can say that for both livings and deads, I didn't know that it's not allowed for non-Muslims deads, also I wonder if it's allowed for non-Muslim livings. Is is allowed or forbidden (or other like Makrouh) to say that for non-Muslim livings/deads? A proof from the Quran or Sunnah or consensus... (any Sharia source) would be much appreciated. Thanks in Advance.