Good question. I'm not sure, but I suspect it shouldn't do anything interesting; mercury allows oxygen to move through the otherwise impermeable aluminium oxide crust and "rust" the metal.
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).
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).