But there are many, many connecting flights through DFW, Houston, LAX, and SFO. The direct flight costs upwards of $500 more, often a 60% or higher premium. That's the value of avoiding transit through the USA and the visa and CIS procedures involved. (Actually, the first $100 could be the usual price for a direct flight over a connection, but the same $500+ price increment seems to apply to connecting flights.)
Aeromexico is not known for its excellent seats, service, or food (though they're fine as airlines go). It's all about avoiding US officials.