You're fine to go over the sheetrock. One thing to think about, though--- I just did one, and the homeowner forgot to put in mandatory wall vents right above the unit, and I had to go back and cut them in.

Don't forget the vents!!
Edit-- almost forgot to show the progress pic, so you could see it WAS over sheetrock. :-) One thing-- especially if you're using large format tile, make sure the wall is flat, or you're going to have issues. That's the reason for the mortar patches in the pic. Also the reason we wrapped the doorway. Originally it was going to be just the wall, but because there was such a bow in the wall right next to the door, the only way to hid it was to float, tile, it, and then return the tile in the doorway, to hide the difference in the gap behind the tile. It went from being tight to the wall at the bottom, to a half inch in the middle, and back to tight at the top.