Actually, Martin, they do come from Mexico, and they are Mexican. Every single bit of research I have looked at confirms that.

This is from Pew.

"The number of unauthorized immigrants from Mexico dropped to 4.0 million in 2022 from a peak of 6.9 million in 2007. Mexico has long been, and remains, the most common country of birth for unauthorized immigrants."

They are Mexicans, born and bred in Mexico.

https://www.pewresearch.org/short-reads/2024/07/22/what-we-know-about-unauthorized-immigrants-living-in-the-us/