That would put the blame on the US because the US would have to have done something to provoke Mexico to want to join such an alliance. As it stands, Mexico do

That would put the blame on the US because the US would have to have done something to provoke Mexico to want to join such an alliance. As it stands, Mexico doesn't even bother with significant defense spending because they know that the US isn't all that interested in invading and no one else is going to try to invade a country which shares a land border with the US. On the other hand, the various Russian neighbors who have joined or have expressed interest in joining NATO have done the same calculus and determined that Russia is cannot be relied on to not threaten their borders.