I can't be sure you are speaking in jest or not. But what you suggest is extraordinarily DANGEROUS. And stupid. I know you're not stupid, too.
First off the Mexican military and police aren't really working for the government and they respect no laws. Except the extremely stringent gun laws of the country that keep them in power. Where our LEO's might only arrest a suspect, the cartel paid Mexican forces are more likely to make an example of you by first engaging your little party at a distance with the M2HB .50 cal machineguns WE sold or gave them decades ago. There's not much your prospective level of firepower will accomplish in that scenario. The Mexicans, especially their elite SF known as the Zetas are pretty hard corps soldiers, even if they're working for the Devil.
In any case, when they've whittled your numbers down and when you've surrendered they'd make sport of engineering your deaths in spectacular fashion and leaving them at some legitimate port of entry on our side after making as much political and diplomatic hay as possible. This isn't a viable example of CWII. It's CWSuicide.
It is maddening. But I would not suggest that protesters go into Mexico to meet the caravan there, or for any other reason. It's a corrupt shithole and you have no rights.