your current status?

if B1/B2, no chance in Mexico. B to J2 possible by filing I-539.

if F1, transfering school do not need USCIS approval, nor do you need to get another visa out of USA.

if F1 and not going to maintain study or OPT is ending, you can go for 3rd country or China for J2 visa interview. Mexico is better in this case.