What if they need to fight one of their southern neighbors over some marine issue of little concern to the USA? Or when they need to fight a country allied to the USA? Think Falklands.
From whose pov? Do Mexico have distant territories?
You could construct all sorts of scenarios. But every country has a limited budget, and need to focus that budget on the most likely threats. Fighter aircraft are fairly niche in their roles, and expensive and I can understand Mexico coming to the conclusion they don't need them.
I'm not aware of any territorial disputes involving Mexico. And a marine issue could equally be solved by sailing a ship there, well, from a show of force pov