Wasn’t aware there were so many Mexicans who aren’t from Mexico.
No, they are from Mexico and their ancestry in Mexico goes back generations. They are descended from Europeans who settled in Mexico over the last 400+ years starting with the Spanish conquistadors. They mainly intermarried over the centuries with those of like heritage, but they are Mexicans. They have dominated the ruling class from the beginning and are not among the groups that generally try to come here illegally.