Jews often pray at the graves of righteous people. One popular site, for example, is Me'aras HaMachpelah, the biblical grave of many of the forefathers. It seems that Muslims also pray there, though perhaps don't use the place as a mosque.
However, praying to a person is absolutely forbidden as much as idolatry. If there are any historical accounts of a Jew doing so, they are of a transgressor. The Kitzur Shulchan Aruch (128:13) makes this clear:
On the day preceding Rosh HaShanah, after the prayer of Shacharis, it is the practice to go to a cemetery to walk around the graves of righteous people. And we give charity to poor people, and we increase requests in order to awaken the holy righteous people who are in the decomposed earth to request good for us on the day of judgment. And also because it is the place of the burial of righteous people, the place is holy and pure, and the prayer is accepted there more [readily], since it is on holy ground. And the blessed holy one will do kindness in the merit of the righteous people.
However, he should not face the corpses who dwell there [in prayer], because the matter is close to being in the category of (Devarim 18:11) "And someone who seeks the dead." Rather, he should request from the blessed G-d that He have mercy on him in the merit of the righteous people, the dwellers of the dust.