How would this be properly translated to Latin?
Pie Iesu, miserere mei
The idea in full can be found in some versions of the Ave Verum. Note that the linked article translates pie as holy, though it usually also means benevolent, kind (hence merciful) when referred to the Lord.
Alternatives to pie commonly used in ecclesiastical Latin are: piíssime (the superlative of pie), or multae misericordiae (of great mercy, Ps. 102), or even dives in misericordia (rich in mercy,) if you want to use a more specific word for mercy (misericordia) in the title for Jesus.
The separate ideas (merciful Jesus on one hand and have pity on me on the other) are omnipresent in Liturgy, the Scripture, and elsewhere. For have pity on me the (almost fixed) formula is miserere mei, unless you want to make a nuanced distinction between pity and mercy that my English skills are too limited to catch.
The verbal form miserere (have mercy) is found 18 times in the Gospels and is always directed to Jesus or some other holy person, followed by a personal pronoun in genitive. Of these mei (of me, as is idiomatic in Latin) is by far the most common. Among these, it is noteworthy the call by the blind man in Lk 18:38,
Iesu, fili David, miserere mei!
Jesus son of David, have pity on me.