Mexico

Mexico — also called the United States of Mexico — was a nation in North America.

History
Circa the 15th century, the First Doctor, Susan, Ian Chesterton and Barbara Wright visited what would become Mexico. Barbara attempted (and failed) to alter the history of the Aztecs. (TV: The Aztecs)

The War Lords kidnapped several soldiers from the Mexican Civil War for their War Games. (TV: The War Games)

In 1941, during the Day of the Dead, psychotic artist Susini attempted to create sculptures from the flesh and bone of living humans. Her plot was defeated by the Eighth Doctor and local artists Frida Kahlo and Diego Rivera. (COMIC: The Way of All Flesh)

In 1994, the Seventh Doctor, Ace and Bernice Summerfield visited Mexico, meeting Cristián Xochitl Alvarez and investigating Huitzilin and the "Blue". (PROSE: The Left-Handed Hummingbird)

In the early 21st century, the United States fought a war with Mexico. (PROSE: Cat's Cradle: Warhead)

The Torchwood Institute was aware that a small time rift was present in Mexico. (COMIC: Shrouded) Following his encounter with Torchwood Three, Captain John Hart left to reside in Mexico. (TV: Exit Wounds)

In the 2010s, the USA-Mexican border was among the places where newly-hatched Zygons were settled across the world as part of Operation Double, resulting in a minority of Zygons residing in New Mexico under the pretense of being British migrants. (TV: The Zygon Invasion)

Notable individuals' ties to Mexico
Mexico was the birthplace of would-be dictator Ramón Salamander. (TV: The Enemy of the World)

Former Time Agent John Hart based himself out of Mexico after moving to 21st century Earth. (COMIC: Shrouded)

Other references
The Sixth Doctor promised Evelyn Smythe that he would go to Mexico or Havana to pick up some specialty chocolate for her to use if she agreed to travel with him. (AUDIO: The Marian Conspiracy)

The Eleventh Doctor attempted to take Amy Pond and Rory Williams to Mexico to see the Day of the Dead festival. He was not successful. (TV: A Town Called Mercy)

Cybus Industries website
Cybus Industries had a tie-in website, no longer hosted by the BBC as of July 2013.

The website had a collection of the CEO of Cybus Industries, John Lumic's, thoughts. He mentioned that living in an airship had its "disadvantages", such as a if a dissident Cybus executive "accidentally" fell into the Grand Canyon, which in Pete's World was in the United States of Mexico, then they couldn't vote against Lumic again. Lumic corrected himself by saying, "I'm sorry, did I say disadvantages? I meant to say advantages."

The website featured an interview with Lumic. When asked what the "best" decision he made was, Lumic answered with, "Assassinating the Prime Minister of the United States of Mexico".