I want to change the color of one of the <li>
record to say "Red". Please suggest how can I do the same.
You can use the jQuery Mobile ThemeRoller to customize swatches to any colors you would like. You can have multiple swatches (from A-Z) and utilize them on an element-level with data-theme="a"
(insert letter of swatch).
Here's a theme I made for you that is ALL red. http://jquerymobile.com/themeroller/?ver=1.1.1&style_id=20120725-62