Bear in mind rectified mains will peak at around 340V.
I did draw out a circuit based on a conventional opamp based constant current source that would work using the IRF710, but I think it is a bit risky so I haven't posted it.
The high capacitance of the transistor will give a high surge current when you apply power and could blow up the LED. A current limiting resistor would help but if you want to work down at 20V your scope for that is limited. A resistor to limit the surge current to say 20mA at 20V could be around 0.4A at 340V.
There is a risk of kickback though the MOSFET drain-gate capacitance blowing up any driving circuitry. A limiting resistor is a more workable solution there.
Bear in mind that dropping nearly 340V even at 10mA will dissipate significant power in the transistor (3.4W).
I think a switching regulator approach would be better. There may be devices around which will do that but I haven't used any. Hopefully some else can suggest one (or a circuit configuration with the IRF710 which doesn't kill you). Maybe a more crude, all discrete circuit which uses a simple zener reference and source resistor would be better, but I would still be worried about the power dissipation and surge current.
Keith.