You can use a tel: link.
Whether this will actually "auto" dial (what is your definition of auto-dial?) depends on the device being used. For example, on iPhone, it's impossible for even a native app (let alone a website) to actually complete placing a phone call - for the user's protection, you can only invoke the Phone app (with phone number) and the user will have to hit the "call" button to complete the call.
You will need to investigate how to do it for each mobile OS you intend to support.
jQuery Mobile plays no role in this. It is an "HTML5" feature that each device maker may or may not have implemented, and may or may not have implemented completely.
If you are wring a native app, then there are other options. You will need to refer to the APIs for each OS and/or whatever software platform (e.g. PhoneGap) you are using.
