Is it correct to say to the deceased, "May Allah have mercy on you, my father," or should we say, "O Allah, have mercy on my father"?

There is no harm in supplicating for a father using the vocative form, for the Prophet, peace and blessings be upon him, supplicated for Fatimah bint Asad with, "May Allah have mercy on you, O my mother." And Ibn Umar supplicated for Abdullah ibn Al-Zubayr after his death with, "May Allah have mercy on you, O Abu Khubaib." And Aisha supplicated for her father with, "May Allah have mercy on you, O my father." And Umm Al-Alaa Al-Ansariyah said to Uthman ibn Maz'oon after his death, "May Allah's mercy be upon you, Abu Al-Sa'ib."