From the Super Mario Wiki
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Mexico City first appears in the Saturday Supercade episode Amazing Rollerskate Race. Donkey Kong Jr. and Bones were headed there to supervise some rollerskaters during a rollerskating race and also catch some thieves who were after their skates.
Mario is Missing!
Along with Athens, Buenos Aires, Sydney and Paris, it is one of the five cities in Mario is Missing! that Luigi has to visit in order to defeat the second boss of the game, Iggy Koopa. Just like all the other cities in Mario is Missing!, Mexico City was invaded by Koopa Troopas. The enemies stole artifacts from various local landmarks: the Angel of Independence, the National Palace, the Fine Arts Palace, and in the PC version, the Zócalo and the Pyramid of the Sun. Luigi rescues the city by finding the stolen artifacts and returning them to their respective landmarks.
Information from Mario is Missing!
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