It is definitely not appropriate and is more likely to hinder your chances at getting an interview than to help you with constructive feedback. The reason is you are indicating to them that other employers have found something lacking. This sends them on a hunt to find the problems rather than looking to see how you can fill their position. And since you are unemployed and have no real experience there is plenty to find. This is not necessarily a reflection on you but on pretty much every person seeking their first job.
So what can you do? You can start by having your employed friends review your resume. I indicate employed because you likely have other friends in the same boat as you. When asking for advice go to those people who are successful. You would not ask the guy that seems to be constantly getting into fender benders to teach you to drive, the same goes for getting a job. Find someone who has successfully found employment and get their feedback. Do not take what they say personally. They are trying to help you and the best way is to give you the brutal honest opinion on the failings. It does not matter if you think your resume looks perfect, and fits the bill for some guide you found, it is not getting you the job. If possible have some friends of your family that are in business review it. If you have a friend that actively hires people for a living getting their feedback can be invaluable. Do not try to get them to give you a job just ask for help fixing your resume. If they are inclined to hire you they will, if not they should provide you with tips from the most useful vantage point.
Most importantly when having people review your resume do not argue with them. It is better to agree and then ignore their advice than to argue about why they are wrong. You asked their opinion and now they are giving it. You may find yourself coming back to them for help in the future and if you did not argue you will find much more willing assistance than if you fought with them while asking for their help.
Once your resume is ready for prime time practice your interview. As many people as you can get them asking you any question they can think of. In interviews you will have curve ball questions that seem to come out of nowhere that you are not ready for. You need to be able to handle those questions with poise. If you panic in your interview you are more likely to panic on the job. Besides that take the criticism of your interviews to heart and work on correcting them. Again do not argue with the people you are asking for help.
Getting your first job is often the toughest. You may want to consider getting involved with professional groups in your field. Search on line for meetings in your area. These groups are almost always looking for new members and are great ways to network and find people looking for talent. This can be a great way to get your foot in the door.