Mexico just mismanages it. They use it for Internal Supply because they have screwed up PEMEX so much they can't product enough oil for export.
Yes it's pretty crazy. They ship it to the US to be refined. Then they buy it back. Sounds like a huge bloated organization with little regards to efficiency.
Source: dated a woman who worked there.
It's recently been privatized.
Yeah, last time I visited my hometown there were British Petroleum and Arco gas stations. They were offering slightly better prices than Pemex.
IME they've also been offering better quality, at least shell. Hopefully they'll also end the widespread practice of shorting customers.