Smallest 5V 2.5mA supply from 110VAC
There are LDOs available for that purpose. Some examples, I know of:
- NCP785A, NCP786A from On Semiconductor
- TPS7A78 from Texas Instruments
- LR8 from Microchip

The devices from On Semi for example only need a diode and two caps to deliver 10mA of stabilized power at the rated voltage, eg. 3.3V, 5V, 12V, 15V, directly from the mains with 85VAC to 260VAC or from a DC source with 25V to 450V. So, they should work everywhere. The LDO is 4.1mm x 2.5mm in size.