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Jacob and his colleagues have recently made many interesting investigations of Markov processes in Euclidean space where the infinitesimal generator of the associated semigroup is a pseudo-differential operator in the Kohn-Nirenberg sense [see \\textit{N. Jacob} and \\textit{R. Schilling}, in: L\u00e9vy process: Theory and applications, 139--169 (2001), and \\textit{N. Jacob}, ``Pseudo-differential operators and Markov processes'' (1996; Zbl 0860.60002)].   In this paper, the authors extend this programme to the Heisenberg group where one can utilise the Weyl calculus to build pseudo-differential operators. In fact, they obtain the general form of symbol for infinitesimal generators and then investigate a natural sub-class of group-valued processes whose components are a L\u00e9vy process in phase space and the associated L\u00e9vy area process on the real line. These are applied to clarify Gaveau's probabilistic proof for Mehler's formula. 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