You've given only a vague textual description of what you want. And so we would have to guess.
Do you want your icon to the left of the input box? Inside the input box?
If you want it inside the input box, how is the user to see what they typed, if the icon doesn't disappear once the user types?
Usually, these icons are placed to the left of the input box. If they appear INSIDE the input box, generally the border of the input box is faked. That is, CSS is used to remove the border of the real input box, and it is placed inside a div or other element that will have the visible border.
To many things to guess, and not really a jQuery Mobile problem. CSS/HTML.
That said, honestly, nobody should be starting a jQuery Mobile project in 2019! It is a dead project that hasn't been updated since October 2014 - 5 years ago! And it will never be updated.
Those of us who were once experts at jQuery Mobile have largely forgotten the details! It will be hard to get help, and it will slowly break further as browsers are updated.
If you are updating an OLD project, I suggest you not put in too much effort, while considering if it is worth your while to switch to something else.
If this is a NEW project, I suggest you STOP NOW and look for another solution.