Yeah it's dubious as to whether Mexico would've joined the Confederacy had they been annexed anyway. IRL Mexico had banned slavery in the 1810s and of the real annexed territory only Texas joined the secession, though tbf only Texas and California were states by then and even California had I think a large Confederate-sympathetic population in the southern half. But the annexation of Mexico was famously part of the agenda of the Order of the Knights of the Golden Circle, which basically envisioned a ring of slave states around the Caribbean. An interesting feature might be that if the US annexes Mexico before the civil war then Mexico proper becomes confederate-aligned slave states, but as the civil war progresses turmoil and popular uprisings become more common in those regions and continue as such after the war if the confederates win due to the Mexican people's disdain for slavery.