You from the USA with regards to a thief in Mexico with your property? No, there really is nothing you can do, not practically anyway. Law enforcement in this side of the border won’t do anything about a stolen smart phone located in Mexico. Apple won’t get involved at all as they don’t get involved with people’s lost or stolen personal property. They don’t take reports of such things and they don’t actively do anything about such situations.
You have a current location that indicates Find My is online and tracking. So now would be the time to execute a remote erase if you want to ensure your own data is secure.
Leave your device listed as a trusted device at https://appleid.apple.com/ so activation lock keeps it from being activated and used, and report the theft to your USA carrier. The USA carriers operate a USA universal blacklist service, and that blacklist database is honored by all Canadian and Mexican carriers as well.
Thats my suggestion anyway.