I'm not sure about the western monarch, but the eastern monarchs out here in the midwest grow as caterpillars here and pupate in to a butterfly. I don't think they lay eggs down in mexico, I think they only have the butterfly form down there.

Additionally, there are three or four generations of them as they migrate. They don't migrate in one huge push. So the ones in mexico will migrate back north a bit, lay eggs, and die. Then that new generation will become adults, migrate north, and lay eggs, and die. Eventually they will reverse and start migrating south, laying eggs, and dying. Finally the last generation makes it to mexico to hang out for a while and avoid the cold, before starting it all over again!

The migration requires multiple instars, so they reproduce on the way.