Mexico City has a combination of heat, altitude (over 7,000 feet above sea level), and air pollution (worse than pretty much anywhere in the USA). You'd need a retractable roof there. Same is true in Vegas due to the desert, but if any sports league is skittish about gambling, it's MLB.
I recall some time back prior to the Expos moving there was talk of Charlotte and there was some pretty hard evidence that the city's corporate market was already stretched out between the Panthers and the then-soon-to-return NBA (the discussions of the Expos' move occurred during the brief time between the Hornets' departure and the expansion Bobcats' arrival). There was some very serious doubt about whether the area could support a third team, especially one that plays more games than the other two combined. It's one of several reasons why the Hartford Whalers moved to Raleigh instead of Charlotte (although that was several years prior to the Expos' situation becoming truly dire).
Back in the early 1980s there was a study showing that San Antonio was too small to support a pro football team (the USFL put one there anyway with predictably horrific results....some of the players still haven't been paid in full!). The area has changed a lot since then and they had a CFL team for one year in the mid-1990s that drew respectable crowds, but baseball is a bit of a different animal due to the number of games.
I did a quick Google after posting as this admittedly has been a subject that, while I was an expert on a decade ago, haven't spent a minutes thought about since a fateful November 2004 day.
Mexico City was at least in the top ten, but only #8. Their primary issue was GDP of the city paling in comparison to US cities. Likewise, they mention the overwhelmingly large population, never mind drawing from an entire nation of a considerable baseball fanbase.
A retractable stadium is a non-issue nowadays. Costly, sure, but doable. I think you combine the immense, staggering size of Mexico City with the draw of being a national team for a large nation... It's a surefire win all across the board. Plus, you further expand and draw interest from an entire region of Central America. Attendance is an issue, to be sure, but so is merchandising and increasing MLB's appeal and interest to untapped markets, regions and entire nations. Mexico City offers that which no other city can even claim as a possibility.
Realizing there are considerable technicalities and possible hurdles, I'd still bet a good sum on Mexico City offering an almost unprecedented level of success/sizeable fanbase for any team moving there over any other US city/region, excluding possibly NC/SC.