New Mexico isn't really close to any population centres in Mexico. The biggest city in Mexico closest to the US border is Monterrey, which is about 2 1/2 hours away from the Rio Grande.
I think Mexico is a pipe dream for any American sports leagues to expand in. Logistically it would be feasible, but relations between the US-Mexico and well as the uncertainty of general safety in the country wouldn't make the attempt worthwhile.
I don't want to involve politics too much here, but with Joe Biden moving in as President, I think those relations will improve.
I just think that the NHL or any other American sports league should be seeing the incredible potential in Mexico City. The population alone will be a massive factor. If they can get the community involved, they could have one of the best fanbases in the league
Kansas City was rumored to be the relocation spot for the Penguins before the Crosby era. I would say they are at the top to help with building out the midwest