Currently, Mendeley is unable to import citation files from PubMed. This is because NBIB files are not currently compatible with Mendeley However, this is only a temporary situation, according to Mendeley Technical Support.
The website BibTeX to RIS Converter offers a workaround. Please see the instructions below for more details on how to use this conversion program, specifically for PubMed.
This does not apply to legacy users of the Mendeley Desktop. The Desktop version recognizes NBIB files and can import citation(s) without conversion.