No, no fraud. It depends on the rules of the respective countries. There are many people in the U.S. who have dual citizenship (Irish and US,for example) and others who now have US citizenship but whose countries of origins still allow them to vote in that country’s elections. This is particularly true in the case of Eastern European or other “emerging” countries that have had a large emigration to the U.S.
He’s explicitly expressing continued loyalty to his former country and it’s government.
It doesn’t matter whether it’s ok by Mexico’s rules, there’s no way that isn’t a direct violation of his oath of US citizenship.
Trump should nail his a** to the wall on that.