Praying directly to Jesus has been done since the early Church and the Tradition of the Church has always supported it. Since the Trinity is one God, and the Son is the 2nd person of the Trinity, you always pray all three Persons when you pray to one of them.
Mormons believe there was a great apostasy at an undefined point in the very early stage in Christian history, so it can be extremely difficult to reason with them. You can use Scripture, but since Scripture when departed from Tradition can be interpreted in trillions of different ways, that won’t be bulletbroof. You might question with them where Scripture came from (it came from the Church, which was supposedly corrupt by the 3rd century or much sooner), but they might not be open to going that deeply.
Peace.