Let's take a look at your situation, with items in order of urgency:
First off, you really need to join a parish. If your heart is driving you toward the Catholic Church, that's awesome! But, even though you're working toward developing the consistency that brings you to Mass each Sunday, you need to be part of a parish community before you're at that point. Think of it this way -- you're much more likely to try harder to get to Mass each week, if you feel part of a community: without that community bond, you're very likely to just shrug it off and say, "eh, I'll go next week". So, if you're truly interested in embracing your Catholicism -- and that's the hinge of your whole argument about a Catholic wedding -- then you need to become a parishioner. Now!
(Of course, once you join the parish where you live, if you find that a neighboring parish's demographic is more comfortable for you, or has Mass in English more often, then there's no problem going to Mass there. However, you have to keep in mind that a parish isn't like a fitness club: you don't shop for the best one and invest there; a parish is a geographical entity -- you are a parishioner where you live!
Next: getting married. Let's suppose that you join a parish, get involved, and start building friendships and relationships there. Now, when you get married, what's really going on? Theologically, you're making a statement, before God and those around you, to commit to this man for as long as you should live. In other words, you're making your commitment in front of a group of people! Let's put it this way: if you were to decide that forever and evermore, you were only ever going to buy Honda cars, where would you make that promise? In the next state over, where no one would ever see you anymore? They'd just look at you and be like, "uh, whatever. woo." Or, wouldn't you do it in the context of where you live your life -- among your friends and family and neighbors? That way, your commitment would build up your community -- folks would be like, "Look at Mae over there -- she really believes that Hondas are the best car out there, and she's putting her money where her mouth is!" (On the other hand, making the commitment in your community helps your neighbors build you up, too -- if they ever see you looking at a Ford, they'll be able to stand by you, and help you remember the promises you made!
OK -- pretty stretched example, but the principle holds: you marry where you live (i.e., in your parish), because you're proclaiming your commitment in front of family, friends, and very importantly, before the community in which you live your life.
So, that's the way the Church sees it -- in general, you should be getting married in your parish. So, it really doesn't matter what they do down in Mexico (since that isn't your community) -- the community standard to look at is the one where you live.
Now, there are opportunities to get permission to have the marriage elsewhere, but they're supposed to keep that dynamic in mind -- are you looking for a community that you hold dear, or are you simply looking for a "destination wedding"?
So, (1) join a parish first. Then, (2) check with the pastor -- let him know that you're starting to plan a wedding, and would like to talk with him about it.
When I found your words, I devoured them; they became my joy and the happiness of my heart, Because I bore your name, O LORD.
-- Jeremiah 15:16