Don't do that
Depending which country you live in and what type of plugs and sockets you use, touching the DC output side becomes "less safe than it should be", "outright dangerous", or "just as bad as touching mains".
If you have a separate earth pin on your mains plugs, and all sockets in your jurisdiction have an earth connection, you could consider connecting to that instead of neutral. Alternatively, if you're trying to get rid of high frequency noise, you could connect a capacitor across there. Use a capacitor which is designed for it - look into Y rated parts.
The only time it would be acceptable to do what you're proposing is if the DC side is treated like mains from a safety point of view. With e.g. double insulation. If this is what you are doing, you may be better off with a transformerless AC to DC power supply.