Some further reading.
Based on the list of supported tags maybe you can use something like:
Edit - tested this a bit too, <small> doesn't work but that epub linked below shows you a variety of different superscript styles, some convert to mobi better than others...
You can also apply your own styles to the <sup> tags in the epub to precisely control your styling in the epub, recognizing that it's not going to be quite as good in the mobi. Check this post: