As other have suggested, I'd certainly try this at home before your trip. Assuming you like it, you can actually take the classroom and confined water portions of your certification class through your LDS at home, then do your final open water certification dives in Mexico. Your LDS gives you a referral letter(essentially saying that you've completed the first two parts of your training), and then you do your final dives (as well as any "certified" dives after that) on your trip. This way, you don't waste tmie on your vacation sitting around in a class and pool - you can get out and do some real diving. My wife and I got certified in this manner through PADI in Hawaii. I'm not sure if the other certification agencies offer this option, but I'd imagine so. Be sure to check with dive shops in Mexico - we found that cost, dive types, and class sizes varied dramatically.
The big reason w went this route was that we live in Colorado, and had we done our OW certification dives here, we'd have been in a cold, murky lake instead of the warm, clear ocean. If your local diving areas are good dive sites, you might want to just get fully certified before you go. That way, you can fully enjoy your diving in Mexico, instead of having to worry about skills and hanging out in a class.