The recent development of single-cell transcriptomics has enabled gene expression to be measured in individual cells instead of being population-averaged. Despite this considerable precision improvement, inferring regulatory networks remains challenging because stochasticity now proves to play a fundamental role in gene expression. In particular, mRNA synthesis is now acknowledged to occur in a highly bursty manner. We propose to view the inference problem as a fitting procedure for a mechanistic gene network model that is inherently stochastic and takes not only protein, but also mRNA levels into account. We first explain how to build and simulate this network model based upon the coupling of genes that are described as piecewise-deterministic Markov processes. Our model is modular and can be used to implement various biochemical hypotheses including causal interactions between genes. However, a naive fitting procedure would be intractable. By performing a relevant approximation of the stationary distribution, we derive a tractable procedure that corresponds to a statistical hidden Markov model with interpretable parameters. This approximation turns out to be extremely close to the theoretical distribution in the case of a simple toggle-switch, and we show that it can indeed fit real single-cell data. As a first step toward inference, our approach was applied to a number of simple two-gene networks simulated in silico from the mechanistic model and satisfactorily recovered the original networks. Our results demonstrate that functional interactions between genes can be inferred from the distribution of a mechanistic, dynamical stochastic model that is able to describe gene expression in individual cells. This approach seems promising in relation to the current explosion of single-cell expression data.