Plus, if the airskin is high enough above Mercury, the air pressure differential would be approximately zero. Ditto for the earth. Here, if you had an airskin at 26 miles, the air pressure would be approximately 1% of that at sea level. I am quite confident that you could encased the entire earth in Saran Wrap at 26 miles, without fear of it bursting due to the "force" of 10 millibars of air pressure. 
Ten millibars is the pressure of ten centimeters deep of water. Imagine a large sheet of saran wrap supporting three centimeters thick of dirt.
Now imagine a saran wrap suspension bridge supporting three centimeters gravel pavement. A very, very, very, long suspension bridge.
The total tension on one meter of the saran wrap surrounding the earth containing ten millibars of pressure is 6378100*68 newtons.
Which is equivalent to taking a meter wide sheet of saran warp and trying to hang 44 256 tones from it.
Assuming the sheet is made of carbon nanotubes at the theoretical maximum possible strength, 70GPA, your airskin floating above the earth would need to be six centimeters thick.
This, however, leave no safety margin. If, for example, a large object should punch a large hole in your six centimeter thick layer, the tension at the edges of the cut are much greater. It is going to rip like paper.
If your airskin is at very high altitude, you still need a thick airskin, even though most of the pressure is provided not by the airskin, but by the weight of the air. The gravity on Mercury is one third that of the earth, so you will need three times as much air, which is a lot of air. Three times as much air will block most of the light, cause massive greenhouse effect, and so on and so forth.
So you are going to need most of the pressure provided by tension in the airskin, which means an airskin several meters thick, even assuming carbon nanotube construction materials.
You can build quite large habitats using quite thin carbon nanotube airskins, but not glad wrap thin, more like ship hulls. For planet sized habitats, they start to get seriously thick.