Im not sure if mshr can do this. Note that mshr has also been deprecated and not updated for 3 years, and the last actual update of functionality is 5-6 years ago (Bitbucket).
There are tons of examples on this forum, for instance: Error while importing gmsh mesh - #4 by dokken from earlier today.
I’ve also published several tutorials on the subject:
https://jsdokken.com/dolfinx-tutorial/chapter3/subdomains.html#read-in-msh-files-with-dolfinx